browse (3) - Linux Manuals

browse: set of CMS quotes

NAME

QuantLib::CmsMarket - set of CMS quotes

SYNOPSIS


#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

Inherits QuantLib::LazyObject.

Public Member Functions


CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS)

void reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)

const std::vector< Period > & swapTenors () const

const Matrix & impliedCmsSpreads ()

const Matrix & spreadErrors ()

Matrix browse () const

Real weightedSpreadError (const Matrix &weights)

Real weightedSpotNpvError (const Matrix &weights)

Real weightedFwdNpvError (const Matrix &weights)

Disposable< Array > weightedSpreadErrors (const Matrix &weights)

Disposable< Array > weightedSpotNpvErrors (const Matrix &weights)

Disposable< Array > weightedFwdNpvErrors (const Matrix &weights)

LazyObject interface


void update ()

Detailed Description

set of CMS quotes

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Author

Generated automatically by Doxygen for QuantLib from the source code.