CMSwapCurveState Class Reference

Curve state for constant-maturity-swap market models More...

#include <cmswapcurvestate.hpp>

Inheritance diagram for CMSwapCurveState:

Collaboration diagram for CMSwapCurveState:

Public Member Functions
	CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards)
Modifiers
void	setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, 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	spanningFwds_
Size	first_
std::vector< DiscountFactor >	discRatios_
std::vector< Rate >	forwardRates_
std::vector< Rate >	cmSwapRates_
std::vector< Real >	cmSwapAnnuities_
std::vector< Rate >	irrCMSwapRates_
std::vector< Real >	irrCMSwapAnnuities_
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 constant-maturity-swap market models

Definition at line 30 of file cmswapcurvestate.hpp.

Constructor & Destructor Documentation

CMSwapCurveState()

CMSwapCurveState ( const std::vector< Time > &  rateTimes, Size  spanningForwards  )

explicit

Definition at line 26 of file cmswapcurvestate.cpp.

Member Function Documentation

setOnCMSwapRates()

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

Definition at line 40 of file cmswapcurvestate.cpp.

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discountRatio()

Real discountRatio ( Size  i, Size  j  ) const

overridevirtual

Implements CurveState.

Definition at line 87 of file cmswapcurvestate.cpp.

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forwardRate()

Rate forwardRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 94 of file cmswapcurvestate.cpp.

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coterminalSwapRate()

Rate coterminalSwapRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 113 of file cmswapcurvestate.cpp.

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coterminalSwapAnnuity()

Rate coterminalSwapAnnuity ( Size  numeraire, Size  i  ) const

overridevirtual

Implements CurveState.

Definition at line 101 of file cmswapcurvestate.cpp.

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cmSwapRate()

Rate cmSwapRate ( Size  i, Size  spanningForwards  ) const

overridevirtual

Implements CurveState.

Definition at line 140 of file cmswapcurvestate.cpp.

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cmSwapAnnuity()

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

overridevirtual

Implements CurveState.

Definition at line 122 of file cmswapcurvestate.cpp.

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forwardRates()

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

overridevirtual

Implements CurveState.

Definition at line 155 of file cmswapcurvestate.cpp.

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coterminalSwapRates()

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

overridevirtual

Implements CurveState.

Definition at line 161 of file cmswapcurvestate.cpp.

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cmSwapRates()

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

overridevirtual

Implements CurveState.

Definition at line 169 of file cmswapcurvestate.cpp.

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clone()

std::unique_ptr< CurveState > clone ( ) const

overridevirtual

Implements CurveState.

Definition at line 181 of file cmswapcurvestate.cpp.

Member Data Documentation

spanningFwds_

Size spanningFwds_

private

Definition at line 56 of file cmswapcurvestate.hpp.

first_

Size first_

private

Definition at line 57 of file cmswapcurvestate.hpp.

discRatios_

std::vector<DiscountFactor> discRatios_

private

Definition at line 58 of file cmswapcurvestate.hpp.

forwardRates_

std::vector<Rate> forwardRates_

mutableprivate

Definition at line 59 of file cmswapcurvestate.hpp.

cmSwapRates_

std::vector<Rate> cmSwapRates_

private

Definition at line 61 of file cmswapcurvestate.hpp.

cmSwapAnnuities_

std::vector<Real> cmSwapAnnuities_

private

Definition at line 62 of file cmswapcurvestate.hpp.

irrCMSwapRates_

std::vector<Rate> irrCMSwapRates_

mutableprivate

Definition at line 64 of file cmswapcurvestate.hpp.

irrCMSwapAnnuities_

std::vector<Real> irrCMSwapAnnuities_

mutableprivate

Definition at line 65 of file cmswapcurvestate.hpp.

cotSwapRates_

std::vector<Rate> cotSwapRates_

mutableprivate

Definition at line 66 of file cmswapcurvestate.hpp.

cotAnnuities_

std::vector<Real> cotAnnuities_

mutableprivate

Definition at line 67 of file cmswapcurvestate.hpp.