AffineTermStructure Class Reference
#include <ql/TermStructures/affinetermstructure.hpp>
Inheritance diagram for AffineTermStructure:
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 &referenceDate, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter) | |
| constructor using a fixed model | |
| AffineTermStructure (const Date &referenceDate, const boost::shared_ptr< AffineModel > &model, const std::vector< boost::shared_ptr< RateHelper > > &, const boost::shared_ptr< OptimizationMethod > &, const DayCounter &dayCounter) | |
| constructor using a model that has to be calibrated | |
| AffineTermStructure (Integer settlementDays, const Calendar &calendar, const boost::shared_ptr< AffineModel > &model, const DayCounter &dayCounter) | |
| constructor using a fixed model | |
| AffineTermStructure (Integer settlementDays, const Calendar &calendar, const boost::shared_ptr< AffineModel > &model, const std::vector< boost::shared_ptr< RateHelper > > &, const boost::shared_ptr< OptimizationMethod > &, const DayCounter &dayCounter) | |
| constructor using a model that has to be calibrated | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return rates | |
| void | update () |
Protected Member Functions | |
| DiscountFactor | discountImpl (Time) const |
| discount calculation | |
Member Function Documentation
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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. Reimplemented from LazyObject. |
