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<title>QuantLib: OneFactorAffineModel Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html">OneFactorAffineModel</a></div>
<h1>OneFactorAffineModel Class Reference<br>
<small>
[<a class="el" href="group__shortrate.html">Short-rate modelling framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::OneFactorAffineModel" --><!-- doxytag: inherits="QuantLib::OneFactorModel,QuantLib::AffineModel" --><code>#include <ql/models/shortrate/onefactormodel.hpp></code>
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Inheritance diagram for OneFactorAffineModel:</div>
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<p><center><img src="class_quant_lib_1_1_one_factor_affine_model__inherit__graph.png" border="0" usemap="#_one_factor_affine_model__inherit__map" alt="Inheritance graph"></center>
<map name="_one_factor_affine_model__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_cox_ingersoll_ross.html" title="Cox-Ingersoll-Ross model class." alt="" coords="9,161,140,188"><area shape="rect" href="class_quant_lib_1_1_vasicek.html" title="Vasicek model class" alt="" coords="164,161,231,188"><area shape="rect" href="class_quant_lib_1_1_one_factor_model.html" title="Single-factor short-rate model abstract class." alt="" coords="5,7,131,33"><area shape="rect" href="class_quant_lib_1_1_affine_model.html" title="Affine model class." alt="" coords="155,7,253,33"></map>
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<a href="class_quant_lib_1_1_one_factor_affine_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Single-factor affine base class.
<p>
Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the functions <img class="formulaInl" alt="$ A(t,T) $" src="form_215.png"> and <img class="formulaInl" alt="$ B(t,T) $" src="form_216.png"> such that <p class="formulaDsp">
<img class="formulaDsp" alt="\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]" src="form_217.png">
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<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7ba76488a8dafa032560538843a5737f"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::OneFactorAffineModel" ref="7ba76488a8dafa032560538843a5737f" args="(Size nArguments)" -->
</td><td class="memItemRight" valign="bottom"><b>OneFactorAffineModel</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e6da6d0ea51cae74b4ec8903bf09f18"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discountBond" ref="6e6da6d0ea51cae74b4ec8903bf09f18" args="(Time now, Time maturity, Array factors) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a260e038c388bc1476369ebfcd750ca2"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discountBond" ref="a260e038c388bc1476369ebfcd750ca2" args="(Time now, Time maturity, Rate rate) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> rate) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e85d814b067b54d8e1ea803a90a6db32"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discount" ref="e85d814b067b54d8e1ea803a90a6db32" args="(Time t) const " -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html#e85d814b067b54d8e1ea803a90a6db32">discount</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8ed7d49affc03f9aa87689d34f645b40"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::A" ref="8ed7d49affc03f9aa87689d34f645b40" args="(Time t, Time T) const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b9e6606d18d6623637404a38005d1553"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::B" ref="b9e6606d18d6623637404a38005d1553" args="(Time t, Time T) const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const =0</td></tr>
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