AffineTermStructure Class Reference#include <ql/TermStructures/affinetermstructure.hpp>
Inheritance diagram for AffineTermStructure:
[legend]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.
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Public Member Functions |
| AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter) |
| constructor using a fixed model
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| 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
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DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Date | todaysDate () const |
| today's date
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Date | referenceDate () const |
| the reference date, i.e., the date at which discount = 1
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Date | maxDate () const |
| the latest date for which the curve can return rates
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Protected Member Functions |
DiscountFactor | discountImpl (Time) const |
| discount calculation
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