QuantLib: a free/open-source library for quantitative finance
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curvestate.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006, 2007 Ferdinando Ametrano
5 Copyright (C) 2006, 2007 Mark Joshi
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
22#ifndef quantlib_curve_state_hpp
23#define quantlib_curve_state_hpp
24
25#include <ql/math/array.hpp>
26#include <vector>
27#include <memory>
28
29namespace QuantLib {
30
31 //! %Curve state for market-model simulations
32 /*! This class stores the state of the yield curve associated to the
33 fixed calendar times within the simulation.
34 This is the workhorse discounting object associated to the rate times
35 of the simulation. It's important to pass the rates via an object like
36 this to the product rather than directly to make it easier to switch
37 to other engines such as a coterminal swap rate engine.
38 Many products will not need expired rates and others will only require
39 the first rate.
40 */
41 class CurveState {
42 /* There will n+1 rate times expressing payment and reset times
43 of forward rates.
44
45 |-----|-----|-----|-----|-----| (size = 6)
46 t0 t1 t2 t3 t4 t5 rateTimes
47 f0 f1 f2 f3 f4 forwardRates
48 d0 d1 d2 d3 d4 d5 discountBonds
49 d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0 discountRatios
50 sr0 sr1 sr2 sr3 sr4 cotSwaps
51 */
52 public:
53 CurveState(const std::vector<Time>& rateTimes);
54 virtual ~CurveState() = default;
55
56 //! \name Inspectors
57 //@{
58 Size numberOfRates() const { return numberOfRates_; }
59
60 const std::vector<Time>& rateTimes() const { return rateTimes_; }
61 const std::vector<Time>& rateTaus() const { return rateTaus_; }
62
64 Size j) const = 0;
65 virtual Rate forwardRate(Size i) const = 0;
66 virtual Rate coterminalSwapAnnuity(Size numeraire,
67 Size i) const = 0;
68 virtual Rate coterminalSwapRate(Size i) const = 0;
69 virtual Rate cmSwapAnnuity(Size numeraire,
70 Size i,
71 Size spanningForwards) const = 0;
72 virtual Rate cmSwapRate(Size i,
73 Size spanningForwards) const = 0;
74
75 virtual const std::vector<Rate>& forwardRates() const = 0;
76 virtual const std::vector<Rate>& coterminalSwapRates() const = 0;
77 virtual const std::vector<Rate>& cmSwapRates(Size spanningForwards) const = 0;
78 Rate swapRate(Size begin,
79 Size end) const;
80
81 virtual std::unique_ptr<CurveState> clone() const = 0;
82 //@}
83 protected:
85 std::vector<Time> rateTimes_, rateTaus_;
86 };
87
88 void forwardsFromDiscountRatios(Size firstValidIndex,
89 const std::vector<DiscountFactor>& ds,
90 const std::vector<Time>& taus,
91 std::vector<Rate>& fwds);
92
93 void coterminalFromDiscountRatios(Size firstValidIndex,
94 const std::vector<DiscountFactor>& ds,
95 const std::vector<Time>& taus,
96 std::vector<Rate>& cotSwapRates,
97 std::vector<Real>& cotSwapAnnuities);
98
99 void constantMaturityFromDiscountRatios( // Size i, // to be added later
100 Size spanningForwards,
101 Size firstValidIndex,
102 const std::vector<DiscountFactor>& ds,
103 const std::vector<Time>& taus,
104 std::vector<Rate>& cotSwapRates,
105 std::vector<Real>& cotSwapAnnuities);
106}
107
108#endif
1-D array used in linear algebra.
Curve state for market-model simulations
Definition: curvestate.hpp:41
Size numberOfRates() const
Definition: curvestate.hpp:58
virtual Rate coterminalSwapAnnuity(Size numeraire, Size i) const =0
virtual const std::vector< Rate > & cmSwapRates(Size spanningForwards) const =0
virtual Rate cmSwapRate(Size i, Size spanningForwards) const =0
virtual Rate forwardRate(Size i) const =0
const std::vector< Time > & rateTimes() const
Definition: curvestate.hpp:60
virtual const std::vector< Rate > & coterminalSwapRates() const =0
Rate swapRate(Size begin, Size end) const
Definition: curvestate.cpp:32
std::vector< Time > rateTimes_
Definition: curvestate.hpp:85
virtual const std::vector< Rate > & forwardRates() const =0
const std::vector< Time > & rateTaus() const
Definition: curvestate.hpp:61
virtual Rate coterminalSwapRate(Size i) const =0
std::vector< Time > rateTaus_
Definition: curvestate.hpp:85
virtual Rate cmSwapAnnuity(Size numeraire, Size i, Size spanningForwards) const =0
virtual ~CurveState()=default
virtual Real discountRatio(Size i, Size j) const =0
virtual std::unique_ptr< CurveState > clone() const =0
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
void forwardsFromDiscountRatios(const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds)
Definition: curvestate.cpp:45
void coterminalFromDiscountRatios(const Size firstValidIndex, const std::vector< DiscountFactor > &discountFactors, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities)
Definition: curvestate.cpp:58
void constantMaturityFromDiscountRatios(const Size spanningForwards, const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &constMatSwapRates, std::vector< Real > &constMatSwapAnnuities)
Definition: curvestate.cpp:88