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QuantLib_AffineModel
Langue: en
Version: 382652 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::AffineModel -Affine model class.
SYNOPSIS
#include <ql/models/model.hpp>
Inherits QuantLib::Observable.
Inherited by G2, LiborForwardModel, and OneFactorAffineModel.
Public Member Functions
virtual DiscountFactor discount (Time t) const =0
Implied discount curve.
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
Detailed Description
Affine model class.
Base class for analytically tractable models.
Author
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Contenus ©2006-2024 Benjamin Poulain
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