CmsMarket Class Reference

set of CMS quotes More...

#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

Inheritance diagram for CmsMarket:

Public Member Functions
	CmsMarket (std::vector< Period > swapLengths, std::vector< ext::shared_ptr< SwapIndex > > swapIndexes, ext::shared_ptr< IborIndex > iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< ext::shared_ptr< CmsCouponPricer > > &pricers, Handle< YieldTermStructure > discountingTS)
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

LazyObject interface
void	update () override
void	reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
const std::vector< Period > &	swapTenors () const
const std::vector< Period > &	swapLengths () const
const Matrix &	impliedCmsSpreads ()
const Matrix &	spreadErrors ()
Matrix	browse () const
Real	weightedSpreadError (const Matrix &weights)
Real	weightedSpotNpvError (const Matrix &weights)
Real	weightedFwdNpvError (const Matrix &weights)
Array	weightedSpreadErrors (const Matrix &weights)
Array	weightedSpotNpvErrors (const Matrix &weights)
Array	weightedFwdNpvErrors (const Matrix &weights)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
virtual void	calculate () const
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

set of CMS quotes

Member Function Documentation

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.