AffineModel Class Reference

Affine model class. More...

#include <model.hpp>

Inheritance diagram for AffineModel:

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Public Member Functions
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
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 ()

Detailed Description

Affine model class.

Base class for analytically tractable models.

Definition at line 45 of file model.hpp.

Member Function Documentation

discount()

virtual DiscountFactor discount ( Time  t ) const

pure virtual

Implied discount curve.

Implemented in LiborForwardModel, OneFactorAffineModel, and G2.

discountBond()

virtual Real discountBond ( Time  now, Time  maturity, Array  factors  ) const

pure virtual

Implemented in LiborForwardModel, OneFactorAffineModel, and G2.

discountBondOption() [1/2]

virtual Real discountBondOption ( Option::Type  type, Real  strike, Time  maturity, Time  bondMaturity  ) const

pure virtual

Implemented in GeneralizedHullWhite, LiborForwardModel, CoxIngersollRoss, ExtendedCoxIngersollRoss, HullWhite, Vasicek, and G2.

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discountBondOption() [2/2]

Real discountBondOption ( Option::Type  type, Real  strike, Time  maturity, Time  bondStart, Time  bondMaturity  ) const

virtual

Reimplemented in HullWhite.

Definition at line 151 of file model.hpp.

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