reprice (3) - Linux Manuals

reprice: set of CMS quotes

NAME

QuantLib::CmsMarket - set of CMS quotes

SYNOPSIS

#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

Inherits QuantLib::LazyObject.

Public Member Functions

CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS)

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

const std::vector< Period > & swapTenors () 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)

Disposable< Array > weightedSpreadErrors (const Matrix &weights)

Disposable< Array > weightedSpotNpvErrors (const Matrix &weights)

Disposable< Array > weightedFwdNpvErrors (const Matrix &weights)

LazyObject interface

void update ()

Detailed Description

set of CMS quotes

Member Function Documentation

void update () [virtual]

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.

Author

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