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Sourcecode: quantlib version File versions

extendedcoxingersollross.hpp File Reference


Detailed Description

Extended Cox-Ingersoll-Ross model.

Definition in file extendedcoxingersollross.hpp.

#include <ql/ShortRateModels/OneFactorModels/coxingersollross.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...
class  QuantLib::ExtendedCoxIngersollRoss::Dynamics
 Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
class  QuantLib::ExtendedCoxIngersollRoss::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...
class  QuantLib::ExtendedCoxIngersollRoss::FittingParameter::Impl


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