QuantLib_CurveState (3) - Linux Manuals

QuantLib_CurveState: Curve state for market-model simulations

NAME

QuantLib::CurveState - Curve state for market-model simulations

SYNOPSIS

#include <ql/models/marketmodels/curvestate.hpp>

Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.

Public Member Functions

CurveState (const std::vector< Time > &rateTimes)

Inspectors

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::auto_ptr< CurveState > clone () const =0

Protected Attributes

Size numberOfRates_

std::vector< Time > rateTimes_

std::vector< Time > rateTaus_

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.

Author

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