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

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).

Wed Aug 2 2017 Version 1.10 QuantLib