QuantLib_AffineModel (3) - Linux Manuals

QuantLib_AffineModel: Affine model class.


QuantLib::AffineModel - Affine model class.


#include <ql/models/model.hpp>

Inherits QuantLib::Observable.

Inherited by G2, LiborForwardModel, and OneFactorAffineModel.

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

Detailed Description

Affine model class.

Base class for analytically tractable models.


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