QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CMSwapCurveState Class Reference

Curve state for constant-maturity-swap market models More...

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

+ Inheritance diagram for CMSwapCurveState:

Public Member Functions

 CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards)
 
Modifiers
void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0)
 
- Public Member Functions inherited from CurveState
 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
 

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< CurveStateclone () const
 

Additional Inherited Members

- Protected Attributes inherited from CurveState
Size numberOfRates_
 
std::vector< TimerateTimes_
 
std::vector< TimerateTaus_
 

Detailed Description

Curve state for constant-maturity-swap market models