QuantLib_AffineModel man page

AffineModel — Affine model class.

Synopsis

#include <ql/models/model.hpp>

Inherits Observable.

Inherited by G2, LiborForwardModel, and OneFactorAffineModel.

Public Member Functions

virtual DiscountFactor discount (Time t) const =0
Implied discount curve.
virtual Real discountBond (Time now, Time maturity, Array factors) const =0

virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0

virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const

Detailed Description

Affine model class.

Base class for analytically tractable models.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

discount(3), discountBond(3) and discountBondOption(3) are aliases of QuantLib_AffineModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib