QuantLib_CoterminalSwapCurveState man page
CoterminalSwapCurveState — Curve state for coterminal-swap market models
Public Member Functions
CoterminalSwapCurveState (const std::vector< Time > &rateTimes)
std::auto_ptr< CurveState > clone () const
void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, 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
Additional Inherited Members
Curve state for coterminal-swap market models
This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is the workhorse discounting object associated to the rate times of the simulation. It's important to pass the rates via an object like this to the product rather than directly to make it easier to switch to other engines such as a coterminal swap rate engine. Many products will not need expired rates and others will only require the first rate.
Generated automatically by Doxygen for QuantLib from the source code.
CoterminalSwapCurveState(3) and setOnCoterminalSwapRates(3) are aliases of QuantLib_CoterminalSwapCurveState(3).