CurveState Class Reference

Curve state for market-model simulations More...

#include <curvestate.hpp>

Inheritance diagram for CurveState:

Collaboration diagram for CurveState:

Public Member Functions
	CurveState (const std::vector< Time > &rateTimes)
virtual	~CurveState ()=default

Inspectors
Size	numberOfRates_
std::vector< Time >	rateTimes_
std::vector< Time >	rateTaus_
Size	numberOfRates () const
const std::vector< Time > &	rateTimes () const
const std::vector< Time > &	rateTaus () const
virtual Real	discountRatio (Size i, Size j) const =0
virtual Rate	forwardRate (Size i) const =0
virtual Rate	coterminalSwapAnnuity (Size numeraire, Size i) const =0
virtual Rate	coterminalSwapRate (Size i) const =0
virtual Rate	cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const =0
virtual Rate	cmSwapRate (Size i, Size spanningForwards) const =0
virtual const std::vector< Rate > &	forwardRates () const =0
virtual const std::vector< Rate > &	coterminalSwapRates () const =0
virtual const std::vector< Rate > &	cmSwapRates (Size spanningForwards) const =0
Rate	swapRate (Size begin, Size end) const
virtual std::unique_ptr< CurveState >	clone () const =0

Detailed Description

Curve state for market-model simulations

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.

Definition at line 41 of file curvestate.hpp.

Constructor & Destructor Documentation

CurveState()

CurveState

(

const std::vector< Time > &

rateTimes

)

Definition at line 26 of file curvestate.cpp.

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~CurveState()

virtual ~CurveState ( )

virtualdefault

Member Function Documentation

numberOfRates()

Size numberOfRates

(

)

const

Definition at line 58 of file curvestate.hpp.

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rateTimes()

const std::vector< Time > & rateTimes

(

)

const

Definition at line 60 of file curvestate.hpp.

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rateTaus()

const std::vector< Time > & rateTaus

(

)

const

Definition at line 61 of file curvestate.hpp.

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discountRatio()

virtual Real discountRatio ( Size  i, Size  j  ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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forwardRate()

virtual Rate forwardRate ( Size  i ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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coterminalSwapAnnuity()

virtual Rate coterminalSwapAnnuity ( Size  numeraire, Size  i  ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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coterminalSwapRate()

virtual Rate coterminalSwapRate ( Size  i ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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cmSwapAnnuity()

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

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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cmSwapRate()

virtual Rate cmSwapRate ( Size  i, Size  spanningForwards  ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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forwardRates()

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

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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coterminalSwapRates()

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

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

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cmSwapRates()

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

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

swapRate()

Rate swapRate	(	Size	begin,
		Size	end
	)		const

Definition at line 32 of file curvestate.cpp.

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clone()

virtual std::unique_ptr< CurveState > clone ( ) const

pure virtual

Implemented in CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

Member Data Documentation

numberOfRates_

Size numberOfRates_

protected

Definition at line 84 of file curvestate.hpp.

rateTimes_

std::vector<Time> rateTimes_

protected

Definition at line 85 of file curvestate.hpp.

rateTaus_

std::vector<Time> rateTaus_

protected

Definition at line 85 of file curvestate.hpp.