AffineModel Class Reference
[Short-rate modelling framework]

#include <ql/models/model.hpp>

Inheritance diagram for AffineModel:

Inheritance graph
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List of all members.

Detailed Description

Affine model class.

Base class for analytically tractable models.


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