QuantLib_CoterminalSwapCurveState man page

CoterminalSwapCurveState — Curve state for coterminal-swap market models

Synopsis

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

Inherits CurveState.

Public Member Functions

CoterminalSwapCurveState (const std::vector< Time > &rateTimes)

std::auto_ptr< CurveState > clone () const

Modifiers

void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, 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

Additional Inherited Members

Detailed Description

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

CoterminalSwapCurveState(3) and setOnCoterminalSwapRates(3) are aliases of QuantLib_CoterminalSwapCurveState(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib