AffineTermStructure Class Reference

#include <ql/TermStructures/affinetermstructure.hpp>

Inheritance diagram for AffineTermStructure:

Inheritance graph
[legend]
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< AffineModel > &model, const DayCounter &dayCounter)
 constructor using a fixed model

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

DayCounter dayCounter () const
 the day counter used for date/time conversion

Date todaysDate () const
 today's date

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

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

void update ()

Protected Member Functions

DiscountFactor discountImpl (Time, bool extrapolate=false) const
 discount calculation


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.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen