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A: Single-factor affine base class.

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NAME

QuantLib::OneFactorAffineModel - Single-factor affine base class.

SYNOPSIS

#include <ql/models/shortrate/onefactormodel.hpp>

Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel.

Inherited by CoxIngersollRoss, and Vasicek.

Public Member Functions

OneFactorAffineModel (Size nArguments)

virtual Real discountBond (Time now, Time maturity, Array factors) const

Real discountBond (Time now, Time maturity, Rate rate) const

DiscountFactor discount (Time t) const
Implied discount curve.

Protected Member Functions

virtual Real A (Time t, Time T) const =0

virtual Real B (Time t, Time T) const =0

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 $ A(t,T) $ and $ B(t,T) $ such that [ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. ]

Author

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