CmsMarket Class Reference

set of CMS quotes More...

#include <cmsmarket.hpp>

Inheritance diagram for CmsMarket:

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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
	LazyObject ()
	~LazyObject () override=default
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

LazyObject interface
std::vector< Period >	swapLengths_
std::vector< ext::shared_ptr< SwapIndex > >	swapIndexes_
ext::shared_ptr< IborIndex >	iborIndex_
std::vector< std::vector< Handle< Quote > > >	bidAskSpreads_
std::vector< ext::shared_ptr< CmsCouponPricer > >	pricers_
Handle< YieldTermStructure >	discTS_
Size	nExercise_
Size	nSwapIndexes_
std::vector< Period >	swapTenors_
Matrix	spotFloatLegNPV_
Matrix	spotFloatLegBPS_
Matrix	mktBidSpreads_
Matrix	mktAskSpreads_
Matrix	mktSpreads_
Matrix	mdlSpreads_
Matrix	errSpreads_
Matrix	mktSpotCmsLegNPV_
Matrix	mdlSpotCmsLegNPV_
Matrix	errSpotCmsLegNPV_
Matrix	mktFwdCmsLegNPV_
Matrix	mdlFwdCmsLegNPV_
Matrix	errFwdCmsLegNPV_
std::vector< std::vector< ext::shared_ptr< Swap > > >	spotSwaps_
std::vector< std::vector< ext::shared_ptr< Swap > > >	fwdSwaps_
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)
void	performCalculations () const override
Real	weightedMean (const Matrix &var, const Matrix &weights) const
Array	weightedMeans (const Matrix &var, const Matrix &weights) const

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

Detailed Description

set of CMS quotes

Definition at line 42 of file cmsmarket.hpp.

Constructor & Destructor Documentation

CmsMarket()

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
	)

Definition at line 35 of file cmsmarket.cpp.

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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.

Reimplemented from LazyObject.

Definition at line 52 of file cmsmarket.hpp.

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reprice()

void reprice	(	const Handle< SwaptionVolatilityStructure > &	volStructure,
		Real	meanReversion
	)

Definition at line 155 of file cmsmarket.cpp.

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swapTenors()

const std::vector< Period > & swapTenors

(

)

const

Definition at line 58 of file cmsmarket.hpp.

swapLengths()

const std::vector< Period > & swapLengths

(

)

const

Definition at line 59 of file cmsmarket.hpp.

impliedCmsSpreads()

const Matrix & impliedCmsSpreads

(

)

Definition at line 60 of file cmsmarket.hpp.

spreadErrors()

const Matrix & spreadErrors

(

)

Definition at line 61 of file cmsmarket.hpp.

browse()

Matrix browse

(

)

const

Definition at line 227 of file cmsmarket.cpp.

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weightedSpreadError()

Real weightedSpreadError

(

const Matrix &

weights

)

Definition at line 184 of file cmsmarket.cpp.

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weightedSpotNpvError()

Real weightedSpotNpvError

(

const Matrix &

weights

)

Definition at line 179 of file cmsmarket.cpp.

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weightedFwdNpvError()

Real weightedFwdNpvError

(

const Matrix &

weights

)

Definition at line 174 of file cmsmarket.cpp.

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weightedSpreadErrors()

Array weightedSpreadErrors

(

const Matrix &

weights

)

Definition at line 201 of file cmsmarket.cpp.

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weightedSpotNpvErrors()

Array weightedSpotNpvErrors

(

const Matrix &

weights

)

Definition at line 196 of file cmsmarket.cpp.

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weightedFwdNpvErrors()

Array weightedFwdNpvErrors

(

const Matrix &

weights

)

Definition at line 191 of file cmsmarket.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 108 of file cmsmarket.cpp.

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weightedMean()

Real weightedMean ( const Matrix &  var, const Matrix &  weights  ) const

private

Definition at line 206 of file cmsmarket.cpp.

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weightedMeans()

Array weightedMeans ( const Matrix &  var, const Matrix &  weights  ) const

private

Definition at line 217 of file cmsmarket.cpp.

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Member Data Documentation

swapLengths_

std::vector<Period> swapLengths_

private

Definition at line 77 of file cmsmarket.hpp.

swapIndexes_

std::vector<ext::shared_ptr<SwapIndex> > swapIndexes_

private

Definition at line 78 of file cmsmarket.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 79 of file cmsmarket.hpp.

bidAskSpreads_

std::vector<std::vector<Handle<Quote> > > bidAskSpreads_

private

Definition at line 80 of file cmsmarket.hpp.

pricers_

std::vector<ext::shared_ptr<CmsCouponPricer> > pricers_

private

Definition at line 81 of file cmsmarket.hpp.

discTS_

Handle<YieldTermStructure> discTS_

private

Definition at line 82 of file cmsmarket.hpp.

nExercise_

Size nExercise_

private

Definition at line 84 of file cmsmarket.hpp.

nSwapIndexes_

Size nSwapIndexes_

private

Definition at line 85 of file cmsmarket.hpp.

swapTenors_

std::vector<Period> swapTenors_

private

Definition at line 86 of file cmsmarket.hpp.

spotFloatLegNPV_

Matrix spotFloatLegNPV_

mutableprivate

Definition at line 87 of file cmsmarket.hpp.

spotFloatLegBPS_

Matrix spotFloatLegBPS_

private

Definition at line 87 of file cmsmarket.hpp.

mktBidSpreads_

Matrix mktBidSpreads_

mutableprivate

Definition at line 90 of file cmsmarket.hpp.

mktAskSpreads_

Matrix mktAskSpreads_

private

Definition at line 90 of file cmsmarket.hpp.

mktSpreads_

Matrix mktSpreads_

private

Definition at line 90 of file cmsmarket.hpp.

mdlSpreads_

Matrix mdlSpreads_

mutableprivate

Definition at line 92 of file cmsmarket.hpp.

errSpreads_

Matrix errSpreads_

mutableprivate

Definition at line 94 of file cmsmarket.hpp.

mktSpotCmsLegNPV_

Matrix mktSpotCmsLegNPV_

mutableprivate

Definition at line 97 of file cmsmarket.hpp.

mdlSpotCmsLegNPV_

Matrix mdlSpotCmsLegNPV_

mutableprivate

Definition at line 99 of file cmsmarket.hpp.

errSpotCmsLegNPV_

Matrix errSpotCmsLegNPV_

mutableprivate

Definition at line 101 of file cmsmarket.hpp.

mktFwdCmsLegNPV_

Matrix mktFwdCmsLegNPV_

mutableprivate

Definition at line 104 of file cmsmarket.hpp.

mdlFwdCmsLegNPV_

Matrix mdlFwdCmsLegNPV_

mutableprivate

Definition at line 106 of file cmsmarket.hpp.

errFwdCmsLegNPV_

Matrix errFwdCmsLegNPV_

mutableprivate

Definition at line 108 of file cmsmarket.hpp.

spotSwaps_

std::vector<std::vector<ext::shared_ptr<Swap> > > spotSwaps_

private

Definition at line 110 of file cmsmarket.hpp.

fwdSwaps_

std::vector<std::vector<ext::shared_ptr<Swap> > > fwdSwaps_

private

Definition at line 111 of file cmsmarket.hpp.