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
|
<!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>CoterminalSwapCurveState 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="185" height="50" 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 1.2</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="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="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="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_coterminal_swap_curve_state.html">CoterminalSwapCurveState</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">CoterminalSwapCurveState Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::CoterminalSwapCurveState" --><!-- doxytag: inherits="QuantLib::CurveState" -->
<p>Curve state for coterminal-swap market models
<a href="class_quant_lib_1_1_coterminal_swap_curve_state.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CoterminalSwapCurveState:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_coterminal_swap_curve_state__inherit__graph.png" border="0" usemap="#_coterminal_swap_curve_state_inherit__map" alt="Inheritance graph"/></div>
<map name="_coterminal_swap_curve_state_inherit__map" id="_coterminal_swap_curve_state_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_curve_state.html" title="Curve state for market-model simulations" alt="" coords="53,6,139,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_coterminal_swap_curve_state-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2970d6c5b819e43d5c28c4ba5cb9bd3e"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::CoterminalSwapCurveState" ref="a2970d6c5b819e43d5c28c4ba5cb9bd3e" args="(const std::vector< Time > &rateTimes)" -->
 </td><td class="memItemRight" valign="bottom"><b>CoterminalSwapCurveState</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8c46c0cde27036afcca8fe94bf19101d"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::clone" ref="a8c46c0cde27036afcca8fe94bf19101d" 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" align="right" valign="top"><a class="anchor" id="a2115c4cefbd3cc3c8d54915da341253e"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::setOnCoterminalSwapRates" ref="a2115c4cefbd3cc3c8d54915da341253e" args="(const std::vector< Rate > &swapRates, Size firstValidIndex=0)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOnCoterminalSwapRates</b> (const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &swapRates, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> firstValidIndex=0)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba827b05a0086533a68c6c2862351d08"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::discountRatio" ref="aba827b05a0086533a68c6c2862351d08" args="(Size i, Size j) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountRatio</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac1391a5c503e87b171babebba6d4a60"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::forwardRate" ref="aac1391a5c503e87b171babebba6d4a60" args="(Size i) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abec96ff6545d6cd3be5d3eaef0dbd0a8"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::coterminalSwapRate" ref="abec96ff6545d6cd3be5d3eaef0dbd0a8" args="(Size i) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aea7368686f038e0fdbc9341faf4003a6"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::coterminalSwapAnnuity" ref="aea7368686f038e0fdbc9341faf4003a6" args="(Size numeraire, Size i) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>coterminalSwapAnnuity</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee06bd7c4e552385a9f4e9720b5e6b01"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::cmSwapRate" ref="aee06bd7c4e552385a9f4e9720b5e6b01" args="(Size i, Size spanningForwards) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cmSwapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae62cf5e5050a7c480b620a7ec2d104d1"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::cmSwapAnnuity" ref="ae62cf5e5050a7c480b620a7ec2d104d1" args="(Size numeraire, Size i, Size spanningForwards) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cmSwapAnnuity</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5cc6fb17a2d2d3c52a5cb79ff094d184"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::forwardRates" ref="a5cc6fb17a2d2d3c52a5cb79ff094d184" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>forwardRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abe78d2bc9f2687c5e31baa486ad2ace5"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::coterminalSwapRates" ref="abe78d2bc9f2687c5e31baa486ad2ace5" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2c2d3c56715486e94144c87531f19fcc"></a><!-- doxytag: member="QuantLib::CoterminalSwapCurveState::cmSwapRates" ref="a2c2d3c56715486e94144c87531f19fcc" args="(Size spanningForwards) const " -->
const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>cmSwapRates</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Curve state for coterminal-swap market models </p>
<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. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
