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Add a few missing methods to some short-rate models #691

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Nov 26, 2024
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Add a few missing methods to some short-rate models #691

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28 changes: 19 additions & 9 deletions SWIG/shortratemodels.i
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Original file line number Diff line number Diff line change
Expand Up @@ -55,17 +55,24 @@ using QuantLib::CoxIngersollRoss;
using QuantLib::ExtendedCoxIngersollRoss;
%}

%define AFFINE_METHODS
DiscountFactor discount(Time t) const;
Real discountBond(Time now,
Time maturity,
Array factors) const;
Real discountBondOption(Option::Type type,
Real strike,
Time maturity,
Time bondMaturity) const;
%enddef

%shared_ptr(OneFactorAffineModel)
class OneFactorAffineModel : public ShortRateModel {
private:
OneFactorAffineModel();
public:
virtual Real discountBond(Time now,
Time maturity,
Array factors) const;

AFFINE_METHODS;
Real discountBond(Time now, Time maturity, Rate rate) const;
DiscountFactor discount(Time t) const;
};

%shared_ptr(Vasicek)
Expand Down Expand Up @@ -103,20 +110,21 @@ class BlackKarasinski : public ShortRateModel {
};

%shared_ptr(CoxIngersollRoss)
class CoxIngersollRoss : public ShortRateModel {
class CoxIngersollRoss : public OneFactorAffineModel {
public:
CoxIngersollRoss(Rate r0= 0.01, Real theta = 0.1, Real k = 0.1,
Real sigma = 0.1);
DiscountFactor discount(Time t) const;
};

%shared_ptr(ExtendedCoxIngersollRoss)
class ExtendedCoxIngersollRoss : public ShortRateModel {
class ExtendedCoxIngersollRoss : public CoxIngersollRoss {
public:
ExtendedCoxIngersollRoss(const Handle<YieldTermStructure>& termStructure,
Real theta = 0.1, Real k = 0.1,
Real sigma = 0.1, Real x0 = 0.05);
DiscountFactor discount(Time t) const;

// TermStructureConsistentModel
const Handle<YieldTermStructure>& termStructure() const;
};

%shared_ptr(G2)
Expand All @@ -128,6 +136,8 @@ class G2 : public ShortRateModel {

// TermStructureConsistentModel
const Handle<YieldTermStructure>& termStructure() const;

AFFINE_METHODS;
};


Expand Down