QuantLib_CMSwapCurveState man page

CMSwapCurveState — Curve state for constant-maturity-swap market models

Synopsis

#include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp>

Inherits CurveState.

Public Member Functions

CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards)

Modifiers

void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0)

Inspectors

Real discountRatio (Size i, Size j) const

Rate forwardRate (Size i) const

Rate coterminalSwapRate (Size i) const

Rate coterminalSwapAnnuity (Size numeraire, Size i) const

Rate cmSwapRate (Size i, Size spanningForwards) const

Rate cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const

const std::vector< Rate > & forwardRates () const

const std::vector< Rate > & coterminalSwapRates () const

const std::vector< Rate > & cmSwapRates (Size spanningForwards) const

std::auto_ptr< CurveState > clone () const

Additional Inherited Members

Detailed Description

Curve state for constant-maturity-swap market models

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

clone(3), cmSwapAnnuity(3), CMSwapCurveState(3), cmSwapRate(3), cmSwapRates(3), coterminalSwapAnnuity(3), coterminalSwapRate(3), coterminalSwapRates(3), discountRatio(3), forwardRate(3), forwardRates(3) and setOnCMSwapRates(3) are aliases of QuantLib_CMSwapCurveState(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib