In financial mathematics, by replacing the coefficients in the Cox-Ingersoll-Ross model with the time varying functions, the Extended Cox-Ingersoll-Ross (ECIR) model is a mathematical model of the term structure of interest rates. It is a type of “one factor model” (short rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives (from Wiki).