23#ifndef quantlib_fdm_affine_model_termstructure_hpp
24#define quantlib_fdm_affine_model_termstructure_hpp
39 const Date& modelReferenceDate,
40 ext::shared_ptr<AffineModel> model);
51 const ext::shared_ptr<AffineModel>
model_;
1-D array used in linear algebra.
1-D array used in linear algebra.
const ext::shared_ptr< AffineModel > model_
DiscountFactor discountImpl(Time) const override
discount factor calculation
Date maxDate() const override
the latest date for which the curve can return values
void setVariable(const Array &r)
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
virtual DayCounter dayCounter() const
the day counter used for date/time conversion
Interest-rate term structure.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
ext::shared_ptr< YieldTermStructure > r
Interest-rate term structure.