AffineModel Class Reference

Affine model class. More...

#include <ql/models/model.hpp>

Inheritance diagram for AffineModel:

Public Member Functions
virtual DiscountFactor	discount (Time t) const =0
	Implied discount curve.
virtual Real	discountBond (Time now, Time maturity, Array factors) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Detailed Description

Affine model class.

Base class for analytically tractable models.

Member Function Documentation

discount()

virtual DiscountFactor discount ( Time t ) const

pure virtual

Implied discount curve.

Implemented in G2, LiborForwardModel, and OneFactorAffineModel.

discountBondOption()

virtual Real discountBondOption ( Option::Type type, Real strike, Time maturity, Time bondMaturity ) const

pure virtual

Implemented in GeneralizedHullWhite.