rateTimes_ (3) - Linux Manuals
rateTimes_: Curve state for market-model simulations
NAME
QuantLib::CurveState - Curve state for market-model simulations
SYNOPSIS
#include <ql/models/marketmodels/curvestate.hpp>
Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState.
Public Member Functions
CurveState (const std::vector< Time > &rateTimes)
Inspectors
Size numberOfRates () const
const std::vector< Time > & rateTimes () const
const std::vector< Time > & rateTaus () const
virtual Real discountRatio (Size i, Size j) const =0
virtual Rate forwardRate (Size i) const =0
virtual Rate coterminalSwapAnnuity (Size numeraire, Size i) const =0
virtual Rate coterminalSwapRate (Size i) const =0
virtual Rate cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const =0
virtual Rate cmSwapRate (Size i, Size spanningForwards) const =0
virtual const std::vector< Rate > & forwardRates () const =0
virtual const std::vector< Rate > & coterminalSwapRates () const =0
virtual const std::vector< Rate > & cmSwapRates (Size spanningForwards) const =0
Rate swapRate (Size begin, Size end) const
virtual std::auto_ptr< CurveState > clone () const =0
Protected Attributes
Size numberOfRates_
std::vector< Time > rateTimes_
std::vector< Time > rateTaus_
Detailed Description
Curve state for market-model simulations
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.
Author
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