QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | List of all members
OneFactorAffineModel Class Referenceabstract

Single-factor affine base class. More...

#include <ql/models/shortrate/onefactormodel.hpp>

+ Inheritance diagram for OneFactorAffineModel:

Public Member Functions

 OneFactorAffineModel (Size nArguments)
 
virtual Real discountBond (Time now, Time maturity, Array factors) const
 
Real discountBond (Time now, Time maturity, Rate rate) const
 
DiscountFactor discount (Time t) const
 Implied discount curve.
 
- Public Member Functions inherited from OneFactorModel
 OneFactorModel (Size nArguments)
 
virtual boost::shared_ptr< ShortRateDynamicsdynamics () const =0
 returns the short-rate dynamics
 
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
const ArrayproblemValues () const
 Returns the problem values.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from AffineModel
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
 

Protected Member Functions

virtual Real A (Time t, Time T) const =0
 
virtual Real B (Time t, Time T) const =0
 
- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Single-factor affine base class.

Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the functions \( A(t,T) \) and \( B(t,T) \) such that

\[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \]