org.jquantlib.model.shortrate.onefactormodels

Class OneFactorAffineModel

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorAffineModel

All Implemented Interfaces:

AffineModel, Observable, Observer

Direct Known Subclasses:

CoxIngersollRoss, Vasicek

public abstract class OneFactorAffineModel
extends OneFactorModel
implements AffineModel

Single-factor affine base class

Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the functions \f$ A(t,T) \f$ and \f$ B(t,T) \f$ such that \f[ P(t, T, r_t) = A(t,T)e^{ -B(t,T) r_t}. \f]

Constructor Summary

Constructors

Constructor and Description
OneFactorAffineModel(int nArguments)

Method Summary

Modifier and Type	Method and Description
double	discount(double t) Implied discount curve
double	discountBond(double now, double maturity, Array factors)
double	discountBond(double now, double maturity, double rate)

Methods inherited from class org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

dynamics, tree

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.model.AffineModel

discountBondOption

Methods inherited from interface org.jquantlib.util.Observable

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

Constructor Detail

OneFactorAffineModel

public OneFactorAffineModel(int nArguments)

Method Detail

discountBond

public double discountBond(double now,
                           double maturity,
                           double rate)

discountBond

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

Specified by:

discountBond in interface AffineModel

discount

public double discount(double t)

Description copied from interface: AffineModel

Implied discount curve

Specified by:

discount in interface AffineModel