QuantLib_AffineModel

Langue: en

Autres versions - même langue

Version: 382652 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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