Deriscope

The Excel Derivatives Periscope

Products

Extended_CIR_Model

Extended CIR Model is a Type that represents a short rate r given by:
r(t) = μ(t) + rī(t)
where follows a single-factor stochastic process according to the SDE:
drī = k(θ - rī)dt + sqrt(rī)σdw
where w is a Wiener process and k, θ, σ are constants.
μ(t) is the deterministic time-dependent parameter used for term-structure fitting.
QuantLib warning: This class was not tested enough to guarantee its functionality.