Credit Spread Models

A Cox-Ingersoll-Ross model with constant parameters.

Create a CoxIngersollRossModel.

Create a CoxIngersollRossModel from parameter vector.

Create a CoxIngersollRossModel from scalar parameters.

Return z0 parameter.

Return chi parameter.

Return theta parameter.

Return sigma parameter.

Return first and second moments E[zt | zs] and Var[zt | zs].

Return first and second moments E[zt | zs] and Var[zt | zs].

Calculate lognormal approximation in CIR model.

Calculate lognormal approximation in CIR model.

Calculate deterministic drift and diffusion component.