CMSwapCurveState (3) - Linux Manuals

CMSwapCurveState: Curve state for constant-maturity-swap market models

NAME

QuantLib::CMSwapCurveState - Curve state for constant-maturity-swap market models

SYNOPSIS

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

Inherits QuantLib::CurveState.

Public Member Functions

CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards)

Modifiers

void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0)

Inspectors

Real discountRatio (Size i, Size j) const

Rate forwardRate (Size i) const

Rate coterminalSwapRate (Size i) const

Rate coterminalSwapAnnuity (Size numeraire, Size i) const

Rate cmSwapRate (Size i, Size spanningForwards) const

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

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

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

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

std::auto_ptr< CurveState > clone () const

Detailed Description

Curve state for constant-maturity-swap market models

Author

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