B (3) - Linux Manuals
B: Single-factor affine base class.
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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