QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
AffineModel Class Referenceabstract

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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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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