LMMCurveState Class Reference

Curve state for Libor market models More...

#include <lmmcurvestate.hpp>

Inheritance diagram for LMMCurveState:

Collaboration diagram for LMMCurveState:

Public Member Functions
	LMMCurveState (const std::vector< Time > &rateTimes)
Modifiers
void	setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0)
void	setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, 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_
Size	firstCotAnnuityComped_
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 Libor 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 lmmcurvestate.hpp.

Constructor & Destructor Documentation

LMMCurveState()

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

explicit

Definition at line 28 of file lmmcurvestate.cpp.

Member Function Documentation

setOnForwardRates()

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

Definition at line 41 of file lmmcurvestate.cpp.

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setOnDiscountRatios()

void setOnDiscountRatios	(	const std::vector< DiscountFactor > &	discRatios,
		Size	firstValidIndex = 0
	)

Definition at line 70 of file lmmcurvestate.cpp.

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discountRatio()

Real discountRatio ( Size  i, Size  j  ) const

overridevirtual

Implements CurveState.

Definition at line 98 of file lmmcurvestate.cpp.

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forwardRate()

Rate forwardRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 105 of file lmmcurvestate.cpp.

coterminalSwapRate()

Rate coterminalSwapRate ( Size  i ) const

overridevirtual

Implements CurveState.

Definition at line 138 of file lmmcurvestate.cpp.

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coterminalSwapAnnuity()

Rate coterminalSwapAnnuity ( Size  numeraire, Size  i  ) const

overridevirtual

Implements CurveState.

Definition at line 111 of file lmmcurvestate.cpp.

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cmSwapRate()

Rate cmSwapRate ( Size  i, Size  spanningForwards  ) const

overridevirtual

Implements CurveState.

Definition at line 165 of file lmmcurvestate.cpp.

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cmSwapAnnuity()

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

overridevirtual

Implements CurveState.

Definition at line 150 of file lmmcurvestate.cpp.

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forwardRates()

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

overridevirtual

Implements CurveState.

Definition at line 177 of file lmmcurvestate.cpp.

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coterminalSwapRates()

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

overridevirtual

Implements CurveState.

Definition at line 182 of file lmmcurvestate.cpp.

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cmSwapRates()

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

overridevirtual

Implements CurveState.

Definition at line 190 of file lmmcurvestate.cpp.

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clone()

std::unique_ptr< CurveState > clone ( ) const

overridevirtual

Implements CurveState.

Definition at line 198 of file lmmcurvestate.cpp.

Member Data Documentation

first_

Size first_

private

Definition at line 78 of file lmmcurvestate.hpp.

discRatios_

std::vector<DiscountFactor> discRatios_

private

Definition at line 79 of file lmmcurvestate.hpp.

forwardRates_

std::vector<Rate> forwardRates_

private

Definition at line 80 of file lmmcurvestate.hpp.

cmSwapRates_

std::vector<Rate> cmSwapRates_

mutableprivate

Definition at line 81 of file lmmcurvestate.hpp.

cmSwapAnnuities_

std::vector<Real> cmSwapAnnuities_

mutableprivate

Definition at line 82 of file lmmcurvestate.hpp.

cotSwapRates_

std::vector<Rate> cotSwapRates_

mutableprivate

Definition at line 83 of file lmmcurvestate.hpp.

cotAnnuities_

std::vector<Real> cotAnnuities_

mutableprivate

Definition at line 84 of file lmmcurvestate.hpp.

firstCotAnnuityComped_

Size firstCotAnnuityComped_

mutableprivate

Definition at line 86 of file lmmcurvestate.hpp.