OneFactorAffineModel Class Reference

Single-factor affine base class. More...

#include <ql/models/shortrate/onefactormodel.hpp>

Inheritance diagram for OneFactorAffineModel:

List of all members.

Public Member Functions

 OneFactorAffineModel (Size nArguments)
virtual Real discountBond (Time now, Time maturity, Array factors) const
Real discountBond (Time now, Time maturity, Rate rate) const
DiscountFactor discount (Time t) const
 Implied discount curve.

Protected Member Functions

virtual Real A (Time t, Time T) const =0
virtual Real B (Time t, Time T) const =0

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

\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]