OneFactorAffineModel Class Reference
[Short-rate modelling framework]

#include <ql/ShortRateModels/onefactormodel.hpp>

Inheritance diagram for OneFactorAffineModel:

Inheritance graph
[legend]
List of all 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

\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]


Public Member Functions

 OneFactorAffineModel (Size nArguments)
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


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen