1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: CurveState Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a></div>
<h1>CurveState Class Reference</h1><!-- doxytag: class="QuantLib::CurveState" --><code>#include <ql/MarketModels/curvestate.hpp></code>
<p>
<a href="class_quant_lib_1_1_curve_state-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
This class stores the state of the yield curve associated to the fixed calendar times within the simulation.<p>
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.<p>
Many products will not need expired rates and others will only require the first rate.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="88fd3af37567d6296eb23d2712a9079a"></a><!-- doxytag: member="QuantLib::CurveState::CurveState" ref="88fd3af37567d6296eb23d2712a9079a" args="(const std::vector< Time > &rateTimes)" -->
</td><td class="memItemRight" valign="bottom"><b>CurveState</b> (const std::vector< Time > &rateTimes)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="a06fad182536367d98e8a571fedda75b"></a><!-- doxytag: member="QuantLib::CurveState::CurveState" ref="a06fad182536367d98e8a571fedda75b" args="(ForwardIterator begin, ForwardIterator end)" -->
template<class ForwardIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top"> </td><td class="memTemplItemRight" valign="bottom"><b>CurveState</b> (ForwardIterator begin, ForwardIterator end)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="72560eeaab6501c071aa24605ee6e153"></a><!-- doxytag: member="QuantLib::CurveState::rateTimes" ref="72560eeaab6501c071aa24605ee6e153" args="() const" -->
const std::vector< Time > & </td><td class="memItemRight" valign="bottom"><b>rateTimes</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28144186b9a3d05b00eff316ad87e5d2"></a><!-- doxytag: member="QuantLib::CurveState::setOnForwardRates" ref="28144186b9a3d05b00eff316ad87e5d2" args="(const std::vector< Rate > &rates)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnForwardRates</b> (const std::vector< Rate > &rates)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="8fa72c7a03f5b5d9a3a21415a036a016"></a><!-- doxytag: member="QuantLib::CurveState::setOnForwardRates" ref="8fa72c7a03f5b5d9a3a21415a036a016" args="(ForwardIterator begin, ForwardIterator end)" -->
template<class ForwardIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>setOnForwardRates</b> (ForwardIterator begin, ForwardIterator end)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d4f873372a9591c92c6450206a0e9f9b"></a><!-- doxytag: member="QuantLib::CurveState::setOnDiscountRatios" ref="d4f873372a9591c92c6450206a0e9f9b" args="(const std::vector< DiscountFactor > &discountRatios)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnDiscountRatios</b> (const std::vector< DiscountFactor > &discountRatios)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bc0056729d1fb6036e50ec20d104a769"></a><!-- doxytag: member="QuantLib::CurveState::setOnCoterminalSwapRates" ref="bc0056729d1fb6036e50ec20d104a769" args="(const std::vector< Rate > &swapRates)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnCoterminalSwapRates</b> (const std::vector< Rate > &swapRates)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d806337dad99e7826786e420f3cdcd7d"></a><!-- doxytag: member="QuantLib::CurveState::forwardRates" ref="d806337dad99e7826786e420f3cdcd7d" args="() const" -->
const std::vector< Rate > & </td><td class="memItemRight" valign="bottom"><b>forwardRates</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="55f4794b944c2409d1106672e0ca99ec"></a><!-- doxytag: member="QuantLib::CurveState::discountRatios" ref="55f4794b944c2409d1106672e0ca99ec" args="() const" -->
const std::vector< DiscountFactor > & </td><td class="memItemRight" valign="bottom"><b>discountRatios</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3ce54d033e4f191e2516d0c4c18ef62d"></a><!-- doxytag: member="QuantLib::CurveState::coterminalSwapRates" ref="3ce54d033e4f191e2516d0c4c18ef62d" args="() const" -->
const std::vector< Rate > & </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRates</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3767ccfbde9f82ba5f8a718d72957e84"></a><!-- doxytag: member="QuantLib::CurveState::coterminalSwapRatesAnnuities" ref="3767ccfbde9f82ba5f8a718d72957e84" args="() const" -->
const std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRatesAnnuities</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="31613721e108a963b66149bb363d0f74"></a><!-- doxytag: member="QuantLib::CurveState::forwardRate" ref="31613721e108a963b66149bb363d0f74" args="(Size i) const" -->
Rate </td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (Size i) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="207ed067c93136aea644753a2a6f1c86"></a><!-- doxytag: member="QuantLib::CurveState::discountRatio" ref="207ed067c93136aea644753a2a6f1c86" args="(Size i, Size j) const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountRatio</b> (Size i, Size j) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3351e65540d7229d2a192abe572ae937"></a><!-- doxytag: member="QuantLib::CurveState::coterminalSwapRate" ref="3351e65540d7229d2a192abe572ae937" args="(Size i) const" -->
Rate </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRate</b> (Size i) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82d576a11851066c9d8fae376543c1e5"></a><!-- doxytag: member="QuantLib::CurveState::rateTaus" ref="82d576a11851066c9d8fae376543c1e5" args="() const" -->
const std::vector< Time > & </td><td class="memItemRight" valign="bottom"><b>rateTaus</b> () const</td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
