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

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 |