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
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: LMMCurveState 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 0.9.0</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="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="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="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_l_m_m_curve_state.html">LMMCurveState</a></div>
<h1>LMMCurveState Class Reference</h1><!-- doxytag: class="QuantLib::LMMCurveState" --><!-- doxytag: inherits="QuantLib::CurveState" --><code>#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for LMMCurveState:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_l_m_m_curve_state__inherit__graph.png" border="0" usemap="#_l_m_m_curve_state__inherit__map" alt="Inheritance graph"></center>
<map name="_l_m_m_curve_state__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_curve_state.html" title="Curve state for market-model simulations" alt="" coords="21,7,117,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_l_m_m_curve_state-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Curve state for Libor market models
<p>
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. <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="a16287775199c7833a917a13056d6ba3"></a><!-- doxytag: member="QuantLib::LMMCurveState::LMMCurveState" ref="a16287775199c7833a917a13056d6ba3" args="(const std::vector< Time > &rateTimes)" -->
</td><td class="memItemRight" valign="bottom"><b>LMMCurveState</b> (const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c46c0cde27036afcca8fe94bf19101d"></a><!-- doxytag: member="QuantLib::LMMCurveState::clone" ref="8c46c0cde27036afcca8fe94bf19101d" args="() const " -->
std::auto_ptr< <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> > </td><td class="memItemRight" valign="bottom"><b>clone</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a7efc69b227a42bdd3f004156bdfe4e"></a><!-- doxytag: member="QuantLib::LMMCurveState::setOnForwardRates" ref="2a7efc69b227a42bdd3f004156bdfe4e" args="(const std::vector< Rate > &fwdRates, Size firstValidIndex=0)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnForwardRates</b> (const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > &fwdRates, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> firstValidIndex=0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2d678ab710d9435a15077fe053ed758b"></a><!-- doxytag: member="QuantLib::LMMCurveState::setOnDiscountRatios" ref="2d678ab710d9435a15077fe053ed758b" args="(const std::vector< DiscountFactor > &discRatios, Size firstValidIndex=0)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnDiscountRatios</b> (const std::vector< <a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> > &discRatios, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> firstValidIndex=0)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba827b05a0086533a68c6c2862351d08"></a><!-- doxytag: member="QuantLib::LMMCurveState::discountRatio" ref="ba827b05a0086533a68c6c2862351d08" 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> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac1391a5c503e87b171babebba6d4a60"></a><!-- doxytag: member="QuantLib::LMMCurveState::forwardRate" ref="ac1391a5c503e87b171babebba6d4a60" args="(Size i) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bec96ff6545d6cd3be5d3eaef0dbd0a8"></a><!-- doxytag: member="QuantLib::LMMCurveState::coterminalSwapRate" ref="bec96ff6545d6cd3be5d3eaef0dbd0a8" args="(Size i) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRate</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ea7368686f038e0fdbc9341faf4003a6"></a><!-- doxytag: member="QuantLib::LMMCurveState::coterminalSwapAnnuity" ref="ea7368686f038e0fdbc9341faf4003a6" args="(Size numeraire, Size i) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>coterminalSwapAnnuity</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ee06bd7c4e552385a9f4e9720b5e6b01"></a><!-- doxytag: member="QuantLib::LMMCurveState::cmSwapRate" ref="ee06bd7c4e552385a9f4e9720b5e6b01" args="(Size i, Size spanningForwards) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cmSwapRate</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e62cf5e5050a7c480b620a7ec2d104d1"></a><!-- doxytag: member="QuantLib::LMMCurveState::cmSwapAnnuity" ref="e62cf5e5050a7c480b620a7ec2d104d1" args="(Size numeraire, Size i, Size spanningForwards) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cmSwapAnnuity</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5cc6fb17a2d2d3c52a5cb79ff094d184"></a><!-- doxytag: member="QuantLib::LMMCurveState::forwardRates" ref="5cc6fb17a2d2d3c52a5cb79ff094d184" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </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="be78d2bc9f2687c5e31baa486ad2ace5"></a><!-- doxytag: member="QuantLib::LMMCurveState::coterminalSwapRates" ref="be78d2bc9f2687c5e31baa486ad2ace5" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </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="2c2d3c56715486e94144c87531f19fcc"></a><!-- doxytag: member="QuantLib::LMMCurveState::cmSwapRates" ref="2c2d3c56715486e94144c87531f19fcc" args="(Size spanningForwards) const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>cmSwapRates</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
