TermStructureConsistentModel (3) Linux Manual Page

QuantLib::TermStructureConsistentModel – Term-structure consistent model class.

Synopsis

#include <ql/models/model.hpp>

Inherits QuantLib::Observable.

Inherited by BlackKarasinski, ExtendedCoxIngersollRoss, G2, and HullWhite.

Public Member Functions

TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure)

const Handle< YieldTermStructure > & termStructure () const

Detailed Description

Term-structure consistent model class.

This is a base class for models that can reprice exactly any discount bond.

Author

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