Single-factor affine base class. More...
#include <onefactormodel.hpp>
Inheritance diagram for OneFactorAffineModel:
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Public Member Functions | |
| OneFactorAffineModel (Size nArguments) | |
| Real | discountBond (Time now, Time maturity, Array factors) const override |
| Real | discountBond (Time now, Time maturity, Rate rate) const |
| DiscountFactor | discount (Time t) const override |
| Implied discount curve. More... | |
| Public Member Functions inherited from OneFactorModel | |
| OneFactorModel (Size nArguments) | |
| ~OneFactorModel () override=default | |
| virtual ext::shared_ptr< ShortRateDynamics > | dynamics () const =0 |
| returns the short-rate dynamics More... | |
| ext::shared_ptr< Lattice > | tree (const TimeGrid &grid) const override |
| Return by default a trinomial recombining tree. More... | |
| Public Member Functions inherited from ShortRateModel | |
| ShortRateModel (Size nArguments) | |
| virtual ext::shared_ptr< Lattice > | tree (const TimeGrid &) const =0 |
| Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () override |
| virtual void | calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
| Calibrate to a set of market instruments (usually caps/swaptions) More... | |
| Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
| const ext::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. More... | |
| const Array & | problemValues () const |
| Returns the problem values. More... | |
| Array | params () const |
| Returns array of arguments on which calibration is done. More... | |
| virtual void | setParams (const Array ¶ms) |
| Integer | functionEvaluation () const |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from AffineModel | |
| virtual DiscountFactor | discount (Time t) const =0 |
| Implied discount curve. More... | |
| 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 |
| virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
Protected Member Functions | |
| virtual Real | A (Time t, Time T) const =0 |
| virtual Real | B (Time t, Time T) const =0 |
| Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| ext::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ = EndCriteria::None |
| Array | problemValues_ |
| Integer | functionEvaluation_ |
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
\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]
Definition at line 126 of file onefactormodel.hpp.
Constructor & Destructor Documentation
◆ OneFactorAffineModel()
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explicit |
Definition at line 129 of file onefactormodel.hpp.
Member Function Documentation
◆ discountBond() [1/2]
Implements AffineModel.
Definition at line 132 of file onefactormodel.hpp.
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◆ discountBond() [2/2]
◆ discount()
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overridevirtual |
Implied discount curve.
Implements AffineModel.
Definition at line 97 of file onefactormodel.cpp.
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◆ A()
Implemented in GeneralizedHullWhite, CoxIngersollRoss, ExtendedCoxIngersollRoss, HullWhite, and Vasicek.
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◆ B()
Implemented in GeneralizedHullWhite, CoxIngersollRoss, and Vasicek.
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