AffineTermStructure Class Reference

#include <ql/TermStructures/affinetermstructure.hpp>

Inheritance diagram for AffineTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Term-structure implied by an affine model.

This class defines a term-structure that is based on an affine model, e.g. Vasicek or Cox-Ingersoll-Ross. It either be instanced using a model with defined arguments, or the model can be calibrated to a set of rate helpers. Of course, there is no point in using a term-structure consistent affine model, since the implied term-structure will just be the initial term-structure on which the model is based.


Public Member Functions

 AffineTermStructure (const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model
 AffineTermStructure (const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const std::vector< boost::shared_ptr< RateHelper > > &, const boost::shared_ptr< OptimizationMethod > &, const DayCounter &dayCounter)
 constructor using a model that has to be calibrated
 AffineTermStructure (Integer settlementDays, const Calendar &calendar, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model
 AffineTermStructure (Integer settlementDays, const Calendar &calendar, const boost::shared_ptr< AffineModel > &model, const std::vector< boost::shared_ptr< RateHelper > > &, const boost::shared_ptr< OptimizationMethod > &, const DayCounter &dayCounter)
 constructor using a model that has to be calibrated
DayCounter dayCounter () const
 the day counter used for date/time conversion
Date maxDate () const
 the latest date for which the curve can return rates
void update ()

Protected Member Functions

DiscountFactor discountImpl (Time) const
 discount calculation


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.