OneFactorAffineModel Class Reference
[Short-rate modelling framework]
#include <ql/models/shortrate/onefactormodel.hpp>
Inheritance diagram for OneFactorAffineModel:

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 and
such that
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 |