CMSwapCurveState Class Reference

Curve state for constant-maturity-swap market models More...

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

Inheritance diagram for CMSwapCurveState:

Public Member Functions
	CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards)
Modifiers
void	setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0)
Public Member Functions inherited from CurveState
	CurveState (const std::vector< Time > &rateTimes)
Size	numberOfRates () const
const std::vector< Time > &	rateTimes () const
const std::vector< Time > &	rateTaus () const
Rate	swapRate (Size begin, Size end) const

Inspectors
Real	discountRatio (Size i, Size j) const override
Rate	forwardRate (Size i) const override
Rate	coterminalSwapRate (Size i) const override
Rate	coterminalSwapAnnuity (Size numeraire, Size i) const override
Rate	cmSwapRate (Size i, Size spanningForwards) const override
Rate	cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const override
const std::vector< Rate > &	forwardRates () const override
const std::vector< Rate > &	coterminalSwapRates () const override
const std::vector< Rate > &	cmSwapRates (Size spanningForwards) const override
std::unique_ptr< CurveState >	clone () const override

Additional Inherited Members
Size	numberOfRates_
std::vector< Time >	rateTimes_
std::vector< Time >	rateTaus_

Detailed Description

Curve state for constant-maturity-swap market models

Member Function Documentation

discountRatio()

Real discountRatio ( Size i, Size j ) const

overridevirtual

Implements CurveState.

forwardRate()

Rate forwardRate ( Size i ) const

overridevirtual

Implements CurveState.

coterminalSwapRate()

Rate coterminalSwapRate ( Size i ) const

overridevirtual

Implements CurveState.

coterminalSwapAnnuity()

Rate coterminalSwapAnnuity ( Size numeraire, Size i ) const

overridevirtual

Implements CurveState.

cmSwapRate()

Rate cmSwapRate ( Size i, Size spanningForwards ) const

overridevirtual

Implements CurveState.

cmSwapAnnuity()

Rate cmSwapAnnuity ( Size numeraire, Size i, Size spanningForwards ) const

overridevirtual

Implements CurveState.

forwardRates()

const std::vector< Rate > & forwardRates ( ) const

overridevirtual

Implements CurveState.

coterminalSwapRates()

const std::vector< Rate > & coterminalSwapRates ( ) const

overridevirtual

Implements CurveState.

cmSwapRates()

const std::vector< Rate > & cmSwapRates ( Size spanningForwards ) const

overridevirtual

Implements CurveState.

clone()

std::unique_ptr< CurveState > clone ( ) const

overridevirtual

Implements CurveState.