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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html">OneFactorAffineModel</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">OneFactorAffineModel Class Reference<div class="ingroups"><a class="el" href="group__shortrate.html">Short-rate modelling framework</a></div></div> </div>
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<!-- doxytag: class="QuantLib::OneFactorAffineModel" --><!-- doxytag: inherits="QuantLib::OneFactorModel,QuantLib::AffineModel" -->
<p>Single-factor affine base class.
<a href="class_quant_lib_1_1_one_factor_affine_model.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodel.hpp></code></p>
<div class="dynheader">
Inheritance diagram for OneFactorAffineModel:</div>
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<div class="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"/></div>
<map name="_one_factor_affine_model_inherit__map" id="_one_factor_affine_model_inherit__map">
<area shape="rect" id="node7" href="class_quant_lib_1_1_cox_ingersoll_ross.html" title="Cox-Ingersoll-Ross model class." alt="" coords="7,166,129,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_vasicek.html" title="Vasicek model class" alt="" coords="153,166,220,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_one_factor_model.html" title="Single-factor short-rate model abstract class." alt="" coords="5,6,123,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_affine_model.html" title="Affine model class." alt="" coords="147,6,235,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_one_factor_affine_model-members.html">List of all members.</a></p>
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<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7ba76488a8dafa032560538843a5737f"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::OneFactorAffineModel" ref="a7ba76488a8dafa032560538843a5737f" args="(Size nArguments)" -->
 </td><td class="memItemRight" valign="bottom"><b>OneFactorAffineModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6e6da6d0ea51cae74b4ec8903bf09f18"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discountBond" ref="a6e6da6d0ea51cae74b4ec8903bf09f18" args="(Time now, Time maturity, Array factors) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa260e038c388bc1476369ebfcd750ca2"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discountBond" ref="aa260e038c388bc1476369ebfcd750ca2" args="(Time now, Time maturity, Rate rate) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> rate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae85d814b067b54d8e1ea803a90a6db32"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::discount" ref="ae85d814b067b54d8e1ea803a90a6db32" args="(Time t) const " -->
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html#ae85d814b067b54d8e1ea803a90a6db32">discount</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8ed7d49affc03f9aa87689d34f645b40"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::A" ref="a8ed7d49affc03f9aa87689d34f645b40" args="(Time t, Time T) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab9e6606d18d6623637404a38005d1553"></a><!-- doxytag: member="QuantLib::OneFactorAffineModel::B" ref="ab9e6606d18d6623637404a38005d1553" args="(Time t, Time T) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const =0</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Single-factor affine base class. </p>
<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) $" src="form_289.png"/> and <img class="formulaInl" alt="$ B(t,T) $" src="form_290.png"/> such that </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]" src="form_291.png"/>
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