3 #ifndef __cflInterestRateModel_hpp__ 4 #define __cflInterestRateModel_hpp__ 57 virtual Slice discount(
unsigned iEventTime,
double dBondMaturity)
const = 0;
105 double initialTime()
const;
112 Slice state(
unsigned iEventTime,
unsigned iState)
const;
122 Slice cash(
unsigned iEventTime,
double dAmount)
const;
127 Slice discount(
unsigned iEventTime,
double dBondMaturity)
const;
136 #include "cfl/Inline/iInterestRateModel.hpp" 137 #endif // of __cflInterestRateModel_hpp__
Interface class for interest rate model.
Definition: InterestRateModel.hpp:34
Interface class for financial models.
Definition: Model.hpp:31
Concrete class for interest rate models.
Definition: InterestRateModel.hpp:65
virtual Slice discount(unsigned iEventTime, double dBondMaturity) const =0
Representation of random payoffs in the library.
Definition: Slice.hpp:40
virtual const std::vector< double > & eventTimes() const =0
Standard concrete class for path dependent functions.
Definition: PathDependent.hpp:64
Main namespace for cfl library.
Definition: Approx.hpp:22
virtual IInterestRateModel * newModel(const std::vector< double > &rEventTimes) const =0
Concrete class for the "extended" financial models.
Definition: Extended.hpp:68
virtual unsigned numberOfStates() const =0
virtual Slice state(unsigned iEventTime, unsigned iState) const =0
virtual ~IInterestRateModel()
Definition: InterestRateModel.hpp:40
Extension of models by path dependent state processes.