LMMCurveState Class Reference

Curve state for Libor market models More...

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

Inheritance diagram for LMMCurveState:

Public Member Functions
	LMMCurveState (const std::vector< Time > &rateTimes)
Modifiers
void	setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0)
void	setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, 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 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.

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.