Short-rate dynamics in the extended Cox-Ingersoll-Ross model
The short-rate is here
$$
r_t = \varphi(t) + y_t^2
$$
where $ \varphi(t) $ is the deterministic time-dependent
parameter used for term-structure fitting and $ y_t $ is the
state variable, the square-root of a standard CIR process.
Short-rate dynamics in the extended Cox-Ingersoll-Ross model The short-rate is here $$ r_t = \varphi(t) + y_t^2 $$ where $ \varphi(t) $ is the deterministic time-dependent parameter used for term-structure fitting and $ y_t $ is the state variable, the square-root of a standard CIR process.