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

OneFactorAffineModel(3) is an alias of QuantLib_OneFactorAffineModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib