org.jquantlib.model

Interface AffineModel

All Superinterfaces:

Observable

All Known Implementing Classes:

CoxIngersollRoss, ExtendedCoxIngersollRoss, G2, HullWhite, OneFactorAffineModel, Vasicek

public interface AffineModel
extends Observable

Affine model class

Base class for analytically tractable models.

Method Summary

Modifier and Type	Method and Description
double	discount(double t) Implied discount curve
double	discountBond(double now, double maturity, Array factors)
double	discountBondOption(Option.Type type, double strike, double maturity, double bondMaturity)

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Method Detail

discount

double discount(double t)

Implied discount curve

discountBond

double discountBond(double now,
                    double maturity,
                    Array factors)

discountBondOption

double discountBondOption(Option.Type type,
                          double strike,
                          double maturity,
                          double bondMaturity)