quantlib.models.shortrate.onefactor_model.
OneFactorAffineModel¶
- class OneFactorAffineModel¶
Bases:
OneFactorModel
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
and
such that
- Attributes:
dynamics
short-rate dynamics
Methods
discount_bond
(self, Time now, Time maturity, ...)discount_bond_option
(self, ...)params
(self)set_params
(self, Array params)