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 &todaysDate, const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model
 AffineTermStructure (const Date &todaysDate, 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 (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


Constructor & Destructor Documentation

AffineTermStructure const Date todaysDate,
const Date referenceDate,
const boost::shared_ptr< AffineModel > &  model,
const DayCounter dayCounter
 

constructor using a fixed model

Deprecated:
use the constructor without today's date.

AffineTermStructure const Date todaysDate,
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

Deprecated:
use the constructor without today's date.


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.


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