AffineTermStructure Class Reference

#include <ql/TermStructures/affinetermstructure.hpp>

Inheritance diagram for AffineTermStructure:

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List of all members.

Detailed Description

Term-structure implied by an affine model.

This class defines a term-structure that is based on an affine model, e.g. Vasicek or Cox-Ingersoll-Ross. It either be instanced using a model with defined arguments, or the model can be calibrated to a set of rate helpers. Of course, there is no point in using a term-structure consistent affine model, since the implied term-structure will just be the initial term-structure on which the model is based.


Public Member Functions

 AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model

 AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const std::vector< boost::shared_ptr< RateHelper > > &, const boost::shared_ptr< OptimizationMethod > &, const DayCounter &dayCounter)
 constructor using a model that has to be calibrated

DayCounter dayCounter () const
 the day counter used for date/time conversion

Date todaysDate () const
 today's date

Date referenceDate () const
 the reference date, i.e., the date at which discount = 1

Date maxDate () const
 the latest date for which the curve can return rates


Protected Member Functions

DiscountFactor discountImpl (Time) const
 discount calculation


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