25#ifndef quantlib_swap_forward_mappings_hpp
26#define quantlib_swap_forward_mappings_hpp
70 Size spanningForwards);
Curve state for market-model simulations
base class for market models
Matrix used in linear algebra.
static Matrix coinitialSwapZedMatrix(const CurveState &cs, Spread displacement)
static Matrix coterminalSwapZedMatrix(const CurveState &cs, Spread displacement)
static Matrix cmSwapZedMatrix(const CurveState &cs, Size spanningForwards, Spread displacement)
static Real swaptionImpliedVolatility(const MarketModel &volStructure, Size startIndex, Size endIndex)
static Real swapDerivative(const CurveState &cs, Size startIndex, Size endIndex, Size forwardIndex)
compute derivative of swap-rate to underlying forward rate
static Matrix coinitialSwapForwardJacobian(const CurveState &cs)
static Real annuity(const CurveState &cs, Size startIndex, Size endIndex, Size numeraireIndex)
compute annuity of arbitrary swap-rate
static Matrix cmSwapForwardJacobian(const CurveState &cs, Size spanningForwards)
static Matrix coterminalSwapForwardJacobian(const CurveState &cs)
Real Spread
spreads on interest rates
std::size_t Size
size of a container
matrix used in linear algebra.