QuantLib_CMSwapCurveState man page

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


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

Inherits CurveState.

Public Member Functions

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


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


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


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Referenced By

The man pages 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).

Mon Apr 30 2018 Version 1.12.1 QuantLib