QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AffineModel Class Referenceabstract

Affine model class. More...

#include <ql/models/model.hpp>

+ Inheritance diagram for AffineModel:

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
 
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Detailed Description

Affine model class.

Base class for analytically tractable models.