AffineModel Class Reference

#include <model.hpp>

Inheritance diagram for AffineModel:

Inheritance graph
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List of all members.

Detailed Description

Affine model class.

This is the base class for analytically tractable models


Public Member Functions

virtual DiscountFactor discount (Time t) const=0
 Implied discount curve.

virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const=0


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

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