QuantLib_LMMCurveState man page

LMMCurveState — Curve state for Libor market models


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

Inherits CurveState.

Public Member Functions

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

std::auto_ptr< CurveState > clone () const


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

void setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, 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

Detailed Description

Curve state for Libor 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.

Referenced By

LMMCurveState(3), setOnDiscountRatios(3) and setOnForwardRates(3) are aliases of QuantLib_LMMCurveState(3).

QuantLib Version 1.8.1 Fri Sep 23 2016