AffineTermStructure Class Reference

#include <affinetermstructure.hpp>

Inheritance diagram for AffineTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Term-structure implied by an affine model.

This class defines a term-structure that is based on an affine model, e.g. Vasicek or Cox-Ingersoll-Ross. It either be instanced using a model with defined arguments, or the model can be calibrated to a set of rate helpers. Of course, there is no point in using a term-structure consistent affine model, since the implied term-structure will just be the initial term-structure on which the model is based.


Public Member Functions

 AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const Handle< ShortRateModels::AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model

 AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const Handle< ShortRateModels::AffineModel > &model, const std::vector< Handle< RateHelper > > &instruments, const Handle< Optimization::Method > &method, const DayCounter &dayCounter)
 constructor using a model that has to be calibrated

DayCounter dayCounter () const
 returns the day counter

Date todaysDate () const
 returns today's date

Date referenceDate () const
 returns the reference date, i.e., the date at which discount = 1

Date maxDate () const
 returns the latest date for which the curve can return rates

void update ()

Protected Member Functions

DiscountFactor discountImpl (Time, bool extrapolate=false) const
 implements the actual discount calculation in derived classes


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


The documentation for this class was generated from the following files:

QuantLib.org
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