CoterminalSwapCurveState Class Reference

Curve state for coterminal-swap market models More...

#include <coterminalswapcurvestate.hpp>

Inheritance diagram for CoterminalSwapCurveState:

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Public Member Functions
	CoterminalSwapCurveState (const std::vector< Time > &rateTimes)
Modifiers
void	setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0)
Public Member Functions inherited from CurveState
	CurveState (const std::vector< Time > &rateTimes)
virtual	~CurveState ()=default
Size	numberOfRates () const
const std::vector< Time > &	rateTimes () const
const std::vector< Time > &	rateTaus () const
Rate	swapRate (Size begin, Size end) const

Inspectors
Size	first_
std::vector< DiscountFactor >	discRatios_
std::vector< Rate >	forwardRates_
std::vector< Rate >	cmSwapRates_
std::vector< Real >	cmSwapAnnuities_
std::vector< Rate >	cotSwapRates_
std::vector< Real >	cotAnnuities_
Real	discountRatio (Size i, Size j) const override
Rate	forwardRate (Size i) const override
Rate	coterminalSwapRate (Size i) const override
Rate	coterminalSwapAnnuity (Size numeraire, Size i) const override
Rate	cmSwapRate (Size i, Size spanningForwards) const override
Rate	cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const override
const std::vector< Rate > &	forwardRates () const override
const std::vector< Rate > &	coterminalSwapRates () const override
const std::vector< Rate > &	cmSwapRates (Size spanningForwards) const override
std::unique_ptr< CurveState >	clone () const override

Additional Inherited Members
Protected Attributes inherited from CurveState
Size	numberOfRates_
std::vector< Time >	rateTimes_
std::vector< Time >	rateTaus_

Detailed Description

Curve state for coterminal-swap market models

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.

Definition at line 39 of file coterminalswapcurvestate.hpp.

Constructor & Destructor Documentation

CoterminalSwapCurveState()

CoterminalSwapCurveState ( const std::vector< Time > &  rateTimes )

explicit

Definition at line 26 of file coterminalswapcurvestate.cpp.

Member Function Documentation

setOnCoterminalSwapRates()

void setOnCoterminalSwapRates	(	const std::vector< Rate > &	swapRates,
		Size	firstValidIndex = 0
	)

Definition at line 37 of file coterminalswapcurvestate.cpp.

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discountRatio()

Real discountRatio ( Size  i, Size  j  ) const

overridevirtual

Implements CurveState.

Definition at line 68 of file coterminalswapcurvestate.cpp.

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forwardRate()

Rate forwardRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 75 of file coterminalswapcurvestate.cpp.

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coterminalSwapRate()

Rate coterminalSwapRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 91 of file coterminalswapcurvestate.cpp.

coterminalSwapAnnuity()

Rate coterminalSwapAnnuity ( Size  numeraire, Size  i  ) const

overridevirtual

Implements CurveState.

Definition at line 82 of file coterminalswapcurvestate.cpp.

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cmSwapRate()

Rate cmSwapRate ( Size  i, Size  spanningForwards  ) const

overridevirtual

Implements CurveState.

Definition at line 112 of file coterminalswapcurvestate.cpp.

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cmSwapAnnuity()

Rate cmSwapAnnuity ( Size  numeraire, Size  i, Size  spanningForwards  ) const

overridevirtual

Implements CurveState.

Definition at line 97 of file coterminalswapcurvestate.cpp.

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forwardRates()

const std::vector< Rate > & forwardRates ( ) const

overridevirtual

Implements CurveState.

Definition at line 124 of file coterminalswapcurvestate.cpp.

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coterminalSwapRates()

const std::vector< Rate > & coterminalSwapRates ( ) const

overridevirtual

Implements CurveState.

Definition at line 130 of file coterminalswapcurvestate.cpp.

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cmSwapRates()

const std::vector< Rate > & cmSwapRates ( Size  spanningForwards ) const

overridevirtual

Implements CurveState.

Definition at line 135 of file coterminalswapcurvestate.cpp.

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clone()

std::unique_ptr< CurveState > clone ( ) const

overridevirtual

Implements CurveState.

Definition at line 144 of file coterminalswapcurvestate.cpp.

Member Data Documentation

first_

Size first_

private

Definition at line 75 of file coterminalswapcurvestate.hpp.

discRatios_

std::vector<DiscountFactor> discRatios_

private

Definition at line 76 of file coterminalswapcurvestate.hpp.

forwardRates_

std::vector<Rate> forwardRates_

mutableprivate

Definition at line 77 of file coterminalswapcurvestate.hpp.

cmSwapRates_

std::vector<Rate> cmSwapRates_

mutableprivate

Definition at line 78 of file coterminalswapcurvestate.hpp.

cmSwapAnnuities_

std::vector<Real> cmSwapAnnuities_

mutableprivate

Definition at line 79 of file coterminalswapcurvestate.hpp.

cotSwapRates_

std::vector<Rate> cotSwapRates_

private

Definition at line 80 of file coterminalswapcurvestate.hpp.

cotAnnuities_

std::vector<Real> cotAnnuities_

private

Definition at line 81 of file coterminalswapcurvestate.hpp.