CoxIngersollRoss | quantlib.js

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by $$ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . $$

bug this class was not tested enough to guarantee its functionality.

Hierarchy

OneFactorAffineModel
- CoxIngersollRoss

Implements

Implemented by

Index

Classes

Methods

Properties

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_k

_k: Parameter

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_r0

_r0: Parameter

_shortRateEndCriteria

_shortRateEndCriteria: Type

_sigma

_sigma: Parameter

_theta

_theta: Parameter

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: CalibrationHelperBase[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: BlackCalibrationHelper[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

- (nArguments: Size): CalibratedModel
- Parameters
  - nArguments: Size
  Returns CalibratedModel

constraint

constraint: () => Constraint

Type declaration

- (): Constraint
- Returns Constraint

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

discountBondOption2

discountBondOption2: (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time) => Real

Type declaration

- (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time): Real
- Parameters
  - type: Type
  - strike: Real
  - maturity: Time
  - bondStart: Time
  - bondMaturity: Time
  Returns Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

functionEvaluation

functionEvaluation: () => Integer

Type declaration

- (): Integer
- Returns Integer

generateArguments

generateArguments: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

ofmInit

ofmInit: (nArguments: Size) => OneFactorModel

Type declaration

- (nArguments: Size): OneFactorModel
- Parameters
  - nArguments: Size
  Returns OneFactorModel

params

params: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

problemValues

problemValues: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

setParams

setParams: (params: Real[]) => void

Type declaration

- (params: Real[]): void
- Parameters
  - params: Real[]
  Returns void

srmInit

srmInit: (nArguments: Size) => ShortRateModel

Type declaration

- (nArguments: Size): ShortRateModel
- Parameters
  - nArguments: Size
  Returns ShortRateModel

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

- (params: Real[], instruments: CalibrationHelperBase[]): Real
- Parameters
  - params: Real[]
  - instruments: CalibrationHelperBase[]
  Returns Real

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

- (params: Real[], instruments: BlackCalibrationHelper[]): Real
- Parameters
  - params: Real[]
  - instruments: BlackCalibrationHelper[]
  Returns Real

Methods

A

A(t: Time, T: Time): Real

Overrides OneFactorAffineModel.A
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:115
Parameters
- t: Time
- T: Time
Returns Real

B

B(t: Time, T: Time): Real

Overrides OneFactorAffineModel.B
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:126
Parameters
- t: Time
- T: Time
Returns Real

cisrInit

cisrInit(r0?: Real, theta?: Real, k?: Real, sigma?: Real, withFellerConstraint?: boolean): CoxIngersollRoss

- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:32
Parameters
- Default value r0: Real = 0.05
- Default value theta: Real = 0.1
- Default value k: Real = 0.1
- Default value sigma: Real = 0.1
- Default value withFellerConstraint: boolean = true
Returns CoxIngersollRoss

discount

discount(t: Time): DiscountFactor

Inherited from OneFactorAffineModel.discount

Overrides OneFactorModelAffineModel.discount
- Defined in ql/models/shortrate/onefactoraffinemodel.ts:34
Parameters
- t: Time
Returns DiscountFactor

discountBond1

discountBond1(now: Time, maturity: Time, factors: Real[]): Real

Inherited from OneFactorAffineModel.discountBond1

Overrides OneFactorModelAffineModel.discountBond1
- Defined in ql/models/shortrate/onefactoraffinemodel.ts:26
Parameters
- now: Time
- maturity: Time
- factors: Real[]
Returns Real

discountBond2

discountBond2(now: Time, maturity: Time, rate: Rate): Real

Inherited from OneFactorAffineModel.discountBond2
- Defined in ql/models/shortrate/onefactoraffinemodel.ts:30
Parameters
- now: Time
- maturity: Time
- rate: Rate
Returns Real

discountBondOption1

discountBondOption1(type: Type, strike: Real, t: Time, s: Time): Real

Overrides OneFactorModelAffineModel.discountBondOption1
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:56
Parameters
- type: Type
- strike: Real
- t: Time
- s: Time
Returns Real

dynamics

dynamics(): ShortRateDynamics

Overrides OneFactorModelAffineModel.dynamics
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:103
Returns ShortRateDynamics

k

k(): Real

- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:140
Returns Real

ofamInit

ofamInit(nArguments: Size): OneFactorAffineModel

Inherited from OneFactorAffineModel.ofamInit
- Defined in ql/models/shortrate/onefactoraffinemodel.ts:21
Parameters
- nArguments: Size
Returns OneFactorAffineModel

sigma

sigma(): Real

- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:144
Returns Real

theta

theta(): Real

- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:136
Returns Real

tree

tree(grid: TimeGrid): Lattice

Overrides OneFactorModelAffineModel.tree
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:108
Parameters
- grid: TimeGrid
Returns Lattice

update

update(): void

Inherited from OneFactorModelAffineModel.update
- Defined in mixins/ql/models/onefactormodelaffinemodel.ts:34
Returns void

x0

x0(): Real

- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:148
Returns Real

Hierarchy

Implements

Implemented by

Index

Classes

Properties

Methods

Properties

_arguments

_constraint

_functionEvaluation

_isDisposed

_k

_observables

_observers

_problemValues

_r0

_shortRateEndCriteria

_sigma

_theta

calibrate1

Type declaration

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

calibrate2

Type declaration

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint

Type declaration

Returns Constraint

deepUpdate

Type declaration

Returns void

discountBondOption2

Type declaration

Parameters

type: Type

strike: Real

maturity: Time

bondStart: Time

bondMaturity: Time

Returns Real

dispose

Type declaration

Returns void

endCriteria

Type declaration

Returns Type

functionEvaluation

Type declaration

Returns Integer

generateArguments

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

ofmInit

Type declaration

Parameters

nArguments: Size