The CoxIngersollRossModel command creates a Cox-Ingersoll-Ross model with the specified parameters. Under this model the short rate process $r\left(t\right)$ has the following dynamics with respect to the risk-neutral measure

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$M≔\mathrm{CoxIngersollRossModel}\left(\mathrm{ZeroCurve}\left(0.03\right)\,0.05\,0.5\,0.002\,0.1\right)$

$M≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$T≔\mathrm{ShortRateTree}\left(M\,5\,40\right)$

$T≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{TreePlot}\left(T\,\mathrm{axes}=\mathrm{BOXED}\,\mathrm{thickness}=2\,\mathrm{gridlines}=\mathrm{true}\right)$

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.

The Finance[CoxIngersollRossModel] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.