QuantLib 0.3.6
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Introduction to QuantLib
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Reference manual
OneFactorAffineModel Class Reference
#include <ql/ShortRateModels/onefactormodel.hpp>
Inheritance diagram for OneFactorAffineModel:
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 
and 
such that
![\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]](form_213.png)
Public Member Functions | |
| OneFactorAffineModel (Size nArguments) | |
| double | discountBond (Time now, Time maturity, Rate rate) const |
| DiscountFactor | discount (Time t) const |
| Implied discount curve. | |
Protected Member Functions | |
| virtual double | A (Time t, Time T) const=0 |
| virtual double | B (Time t, Time T) const=0 |
