Curve state for constant-maturity-swap market models More...
#include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp>
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 |
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CurveState (const std::vector< Time > &rateTimes) | |
Size | numberOfRates () const |
const std::vector< Time > & | rateTimes () const |
const std::vector< Time > & | rateTaus () const |
Rate | swapRate (Size begin, Size end) const |
Additional Inherited Members | |
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Size | numberOfRates_ |
std::vector< Time > | rateTimes_ |
std::vector< Time > | rateTaus_ |
Curve state for constant-maturity-swap market models