CmsMarket Class Reference

set of CMS quotes More...

#include <cmsmarket.hpp>

Inheritance diagram for CmsMarket:

Collaboration diagram for CmsMarket:

Public Member Functions
	CmsMarket (std::vector< Period > swapLengths, std::vector< ext::shared_ptr< SwapIndex > > swapIndexes, ext::shared_ptr< IborIndex > iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< ext::shared_ptr< CmsCouponPricer > > &pricers, Handle< YieldTermStructure > discountingTS)
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

LazyObject interface
std::vector< Period >	swapLengths_
std::vector< ext::shared_ptr< SwapIndex > >	swapIndexes_
ext::shared_ptr< IborIndex >	iborIndex_
std::vector< std::vector< Handle< Quote > > >	bidAskSpreads_
std::vector< ext::shared_ptr< CmsCouponPricer > >	pricers_
Handle< YieldTermStructure >	discTS_
Size	nExercise_
Size	nSwapIndexes_
std::vector< Period >	swapTenors_
Matrix	spotFloatLegNPV_
Matrix	spotFloatLegBPS_
Matrix	mktBidSpreads_
Matrix	mktAskSpreads_
Matrix	mktSpreads_
Matrix	mdlSpreads_
Matrix	errSpreads_
Matrix	mktSpotCmsLegNPV_
Matrix	mdlSpotCmsLegNPV_
Matrix	errSpotCmsLegNPV_
Matrix	mktFwdCmsLegNPV_
Matrix	mdlFwdCmsLegNPV_
Matrix	errFwdCmsLegNPV_
std::vector< std::vector< ext::shared_ptr< Swap > > >	spotSwaps_
std::vector< std::vector< ext::shared_ptr< Swap > > >	fwdSwaps_
void	update () override
void	reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
const std::vector< Period > &	swapTenors () const
const std::vector< Period > &	swapLengths () 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)
Array	weightedSpreadErrors (const Matrix &weights)
Array	weightedSpotNpvErrors (const Matrix &weights)
Array	weightedFwdNpvErrors (const Matrix &weights)
void	performCalculations () const override
Real	weightedMean (const Matrix &var, const Matrix &weights) const
Array	weightedMeans (const Matrix &var, const Matrix &weights) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

set of CMS quotes

Definition at line 42 of file cmsmarket.hpp.

Constructor & Destructor Documentation

CmsMarket()

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

Definition at line 35 of file cmsmarket.cpp.

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Member Function Documentation

update()

void update ( )

overridevirtual

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.

Definition at line 52 of file cmsmarket.hpp.

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reprice()

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

Definition at line 155 of file cmsmarket.cpp.

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swapTenors()

const std::vector< Period > & swapTenors

(

)

const

Definition at line 58 of file cmsmarket.hpp.

swapLengths()

const std::vector< Period > & swapLengths

(

)

const

Definition at line 59 of file cmsmarket.hpp.

impliedCmsSpreads()

const Matrix & impliedCmsSpreads

(

)

Definition at line 60 of file cmsmarket.hpp.

spreadErrors()

const Matrix & spreadErrors

(

)

Definition at line 61 of file cmsmarket.hpp.

browse()

Matrix browse

(

)

const

Definition at line 227 of file cmsmarket.cpp.

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weightedSpreadError()

Real weightedSpreadError

(

const Matrix &

weights

)

Definition at line 184 of file cmsmarket.cpp.

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weightedSpotNpvError()

Real weightedSpotNpvError

(

const Matrix &

weights

)

Definition at line 179 of file cmsmarket.cpp.

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weightedFwdNpvError()

Real weightedFwdNpvError

(

const Matrix &

weights

)

Definition at line 174 of file cmsmarket.cpp.

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weightedSpreadErrors()

Array weightedSpreadErrors

(

const Matrix &

weights

)

Definition at line 201 of file cmsmarket.cpp.

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weightedSpotNpvErrors()

Array weightedSpotNpvErrors

(

const Matrix &

weights

)

Definition at line 196 of file cmsmarket.cpp.

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weightedFwdNpvErrors()

Array weightedFwdNpvErrors

(

const Matrix &

weights

)

Definition at line 191 of file cmsmarket.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 108 of file cmsmarket.cpp.

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weightedMean()

Real weightedMean ( const Matrix &  var, const Matrix &  weights  ) const

private

Definition at line 206 of file cmsmarket.cpp.

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weightedMeans()

Array weightedMeans ( const Matrix &  var, const Matrix &  weights  ) const

private

Definition at line 217 of file cmsmarket.cpp.

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Member Data Documentation

swapLengths_

std::vector<Period> swapLengths_

private

Definition at line 77 of file cmsmarket.hpp.

swapIndexes_

std::vector<ext::shared_ptr<SwapIndex> > swapIndexes_

private

Definition at line 78 of file cmsmarket.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 79 of file cmsmarket.hpp.

bidAskSpreads_

std::vector<std::vector<Handle<Quote> > > bidAskSpreads_

private

Definition at line 80 of file cmsmarket.hpp.

pricers_

std::vector<ext::shared_ptr<CmsCouponPricer> > pricers_

private

Definition at line 81 of file cmsmarket.hpp.

discTS_

Handle<YieldTermStructure> discTS_

private

Definition at line 82 of file cmsmarket.hpp.

nExercise_

Size nExercise_

private

Definition at line 84 of file cmsmarket.hpp.

nSwapIndexes_

Size nSwapIndexes_

private

Definition at line 85 of file cmsmarket.hpp.

swapTenors_

std::vector<Period> swapTenors_

private

Definition at line 86 of file cmsmarket.hpp.

spotFloatLegNPV_

Matrix spotFloatLegNPV_

mutableprivate

Definition at line 87 of file cmsmarket.hpp.

spotFloatLegBPS_

Matrix spotFloatLegBPS_

private

Definition at line 87 of file cmsmarket.hpp.

mktBidSpreads_

Matrix mktBidSpreads_

mutableprivate

Definition at line 90 of file cmsmarket.hpp.

mktAskSpreads_

Matrix mktAskSpreads_

private

Definition at line 90 of file cmsmarket.hpp.

mktSpreads_

Matrix mktSpreads_

private

Definition at line 90 of file cmsmarket.hpp.

mdlSpreads_

Matrix mdlSpreads_

mutableprivate

Definition at line 92 of file cmsmarket.hpp.

errSpreads_

Matrix errSpreads_

mutableprivate

Definition at line 94 of file cmsmarket.hpp.

mktSpotCmsLegNPV_

Matrix mktSpotCmsLegNPV_

mutableprivate

Definition at line 97 of file cmsmarket.hpp.

mdlSpotCmsLegNPV_

Matrix mdlSpotCmsLegNPV_

mutableprivate

Definition at line 99 of file cmsmarket.hpp.

errSpotCmsLegNPV_

Matrix errSpotCmsLegNPV_

mutableprivate

Definition at line 101 of file cmsmarket.hpp.

mktFwdCmsLegNPV_

Matrix mktFwdCmsLegNPV_

mutableprivate

Definition at line 104 of file cmsmarket.hpp.

mdlFwdCmsLegNPV_

Matrix mdlFwdCmsLegNPV_

mutableprivate

Definition at line 106 of file cmsmarket.hpp.

errFwdCmsLegNPV_

Matrix errFwdCmsLegNPV_

mutableprivate

Definition at line 108 of file cmsmarket.hpp.

spotSwaps_

std::vector<std::vector<ext::shared_ptr<Swap> > > spotSwaps_

private

Definition at line 110 of file cmsmarket.hpp.

fwdSwaps_

std::vector<std::vector<ext::shared_ptr<Swap> > > fwdSwaps_

private

Definition at line 111 of file cmsmarket.hpp.