QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

AffineModel Class Reference #include <ql/ShortRateModels/model.hpp> Inheritance diagram for AffineModel: [legend]List of all members. Detailed Description Affine model class. This is the base class for analytically tractable models Public Member Functions virtual DiscountFactor  discount (Time t) const=0   Implied discount curve. virtual double  discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const=0

---

QuantLib.org

Hosted by

Documentation generated by