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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmaffinemodeltermstructure.cpp
*/
#include <ql/models/model.hpp>
#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
namespace QuantLib {
FdmAffineModelTermStructure::FdmAffineModelTermStructure(
const Array& r,
const Calendar& cal,
const DayCounter& dayCounter,
const Date& referenceDate,
const Date& modelReferenceDate,
const ext::shared_ptr<AffineModel>& model)
: YieldTermStructure(referenceDate, cal, dayCounter),
r_(r),
t_(dayCounter.yearFraction(modelReferenceDate, referenceDate)),
model_(model) {
registerWith(model_);
}
Date FdmAffineModelTermStructure::maxDate() const {
return Date::maxDate();
}
void FdmAffineModelTermStructure::setVariable(const Array& r) {
r_ = r;
notifyObservers();
}
DiscountFactor FdmAffineModelTermStructure::discountImpl(Time T) const {
return model_->discountBond(t_, T+t_, r_);
}
}
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