QuantLib_OneFactorAffineModel man page

OneFactorAffineModel — Single-factor affine base class.  

Synopsis

#include <ql/models/shortrate/onefactormodel.hpp>

Inherits OneFactorModel, and AffineModel.

Inherited by CoxIngersollRoss, GeneralizedHullWhite, and Vasicek.

Public Member Functions

OneFactorAffineModel (Size nArguments)
virtual Real discountBond (Time now, Time maturity, Array factors) const
Real discountBond (Time now, Time maturity, Rate rate) const
DiscountFactor discount (Time t) const
Implied discount curve.

Protected Member Functions

virtual Real A (Time t, Time T) const =0
virtual Real B (Time t, Time T) const =0

Additional Inherited Members

Detailed Description

Single-factor affine base class.

Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the functions $ A(t,T) $ and $ B(t,T) $ such that [ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. ]

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page OneFactorAffineModel(3) is an alias of QuantLib_OneFactorAffineModel(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib