ExtendedCoxIngersollRoss

Extended Cox-Ingersoll-Ross model class.

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

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

Hierarchy

CoxIngersollRossTermStructureConsistentModel
- ExtendedCoxIngersollRoss

Implements

Index

Classes

Constructors

constructor

Properties

Methods

Constructors

constructor

new ExtendedCoxIngersollRoss(termStructure: Handle<YieldTermStructure>, theta?: Real, k?: Real, sigma?: Real, x0?: Real, withFellerConstraint?: boolean): ExtendedCoxIngersollRoss

- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:35
Parameters
- termStructure: Handle<YieldTermStructure>
- Default value theta: Real = 0.1
- Default value k: Real = 0.1
- Default value sigma: Real = 0.1
- Default value x0: Real = 0.05
- Default value withFellerConstraint: boolean = true
Returns ExtendedCoxIngersollRoss

Properties

B

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

Type declaration

- (t: Time, T: Time): Real
- Parameters
  - t: Time
  - T: Time
  Returns Real

_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()

Private _phi

_phi: Parameter

_problemValues

_problemValues: Real[]

_r0

_r0: Parameter

_shortRateEndCriteria

_shortRateEndCriteria: Type

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

cisrInit

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

Type declaration

- (r0?: Real, theta?: Real, k?: Real, sigma?: Real, withFellerConstraint?: boolean): CoxIngersollRoss
- Parameters
  - Optional r0: Real
  - Optional theta: Real
  - Optional k: Real
  - Optional sigma: Real
  - Optional withFellerConstraint: boolean
  Returns CoxIngersollRoss

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

discount

discount: (t: Time) => DiscountFactor

Type declaration

- (t: Time): DiscountFactor
- Parameters
  - t: Time
  Returns DiscountFactor

discountBond1

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

Type declaration

- (now: Time, maturity: Time, factors: Real[]): Real
- Parameters
  - now: Time
  - maturity: Time
  - factors: Real[]
  Returns Real

discountBond2

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

Type declaration

- (now: Time, maturity: Time, rate: Rate): Real
- Parameters
  - now: Time
  - maturity: Time
  - rate: Rate
  Returns Real

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

isDisposed

isDisposed: boolean

k

k: () => Real

Type declaration

- (): Real
- Returns Real

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

ofamInit

ofamInit: (nArguments: Size) => OneFactorAffineModel

Type declaration

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

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

sigma

sigma: () => Real

Type declaration

- (): Real
- Returns Real

srmInit

srmInit: (nArguments: Size) => ShortRateModel

Type declaration

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

tcmInit

tcmInit: (termStructure: Handle<YieldTermStructure>) => TermStructureConsistentModel

Type declaration

- (termStructure: Handle<YieldTermStructure>): TermStructureConsistentModel
- Parameters
  - termStructure: Handle<YieldTermStructure>
  Returns TermStructureConsistentModel

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

- (): Handle<YieldTermStructure>
- Returns Handle<YieldTermStructure>

theta

theta: () => Real

Type declaration

- (): Real
- Returns Real

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

x0

x0: () => Real

Type declaration

- (): Real
- Returns Real

Methods

A

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

Overrides CoxIngersollRossTermStructureConsistentModel.A
- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:129
Parameters
- t: Time
- s: Time
Returns Real

discountBondOption1

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

Overrides CoxIngersollRossTermStructureConsistentModel.discountBondOption1
- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:69
Parameters
- type: Type
- strike: Real
- t: Time
- s: Time
Returns Real

dynamics

dynamics(): ShortRateDynamics

Overrides CoxIngersollRossTermStructureConsistentModel.dynamics
- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:64
Returns ShortRateDynamics

generateArguments

generateArguments(): void

Overrides CoxIngersollRossTermStructureConsistentModel.generateArguments
- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:124
Returns void

tree

tree(grid: TimeGrid): Lattice

Overrides CoxIngersollRossTermStructureConsistentModel.tree
- Defined in ql/models/shortrate/onefactormodels/extendedcoxingersollross.ts:46
Parameters
- grid: TimeGrid
Returns Lattice

update

update(): void

Inherited from CoxIngersollRossTermStructureConsistentModel.update
- Defined in mixins/ql/models/coxingersollrosstermstructureconsistentmodel.ts:38
Returns void

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Parameters

termStructure: Handle<YieldTermStructure>

Default value theta: Real = 0.1

Default value k: Real = 0.1

Default value sigma: Real = 0.1

Default value x0: Real = 0.05

Default value withFellerConstraint: boolean = true

Returns ExtendedCoxIngersollRoss

Properties

B

Type declaration

Parameters

t: Time

T: Time

Returns Real

_arguments

_constraint

_functionEvaluation

_isDisposed

_k

_observables

_observers

Private _phi

_problemValues

_r0

_shortRateEndCriteria

_sigma

_termStructure

_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

cisrInit

Type declaration

Parameters

Optional r0: Real

Optional theta: Real

Optional k: Real

Optional sigma: Real

Optional withFellerConstraint: boolean

Returns CoxIngersollRoss

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint

Type declaration

Returns Constraint

deepUpdate

Type declaration

Returns void

discount

Type declaration