CotSwapToFwdAdapter Class Reference

#include <cotswaptofwdadapter.hpp>

Inheritance diagram for CotSwapToFwdAdapter:

Collaboration diagram for CotSwapToFwdAdapter:

Public Member Functions
	CotSwapToFwdAdapter (const ext::shared_ptr< MarketModel > &coterminalModel)
Public Member Functions inherited from MarketModel
virtual	~MarketModel ()=default
virtual const std::vector< Rate > &	initialRates () const =0
virtual const std::vector< Spread > &	displacements () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual Size	numberOfRates () const =0
virtual Size	numberOfFactors () const =0
virtual Size	numberOfSteps () const =0
virtual const Matrix &	pseudoRoot (Size i) const =0
virtual const Matrix &	covariance (Size i) const
virtual const Matrix &	totalCovariance (Size endIndex) const
std::vector< Volatility >	timeDependentVolatility (Size i) const

MarketModel interface
ext::shared_ptr< MarketModel >	coterminalModel_
Size	numberOfFactors_
Size	numberOfRates_
Size	numberOfSteps_
std::vector< Rate >	initialRates_
std::vector< Matrix >	pseudoRoots_
const std::vector< Rate > &	initialRates () const override
const std::vector< Spread > &	displacements () const override
const EvolutionDescription &	evolution () const override
Size	numberOfRates () const override
Size	numberOfFactors () const override
Size	numberOfSteps () const override
const Matrix &	pseudoRoot (Size i) const override

Detailed Description

Definition at line 31 of file cotswaptofwdadapter.hpp.

Constructor & Destructor Documentation

CotSwapToFwdAdapter()

CotSwapToFwdAdapter

(

const ext::shared_ptr< MarketModel > &

coterminalModel

)

Definition at line 30 of file cotswaptofwdadapter.cpp.

Here is the call graph for this function:

Member Function Documentation

initialRates()

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

overridevirtual

Implements MarketModel.

Definition at line 70 of file cotswaptofwdadapter.hpp.

displacements()

const std::vector< Spread > & displacements ( ) const

overridevirtual

Implements MarketModel.

Definition at line 75 of file cotswaptofwdadapter.hpp.

Here is the caller graph for this function:

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModel.

Definition at line 80 of file cotswaptofwdadapter.hpp.

numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements MarketModel.

Definition at line 84 of file cotswaptofwdadapter.hpp.

numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements MarketModel.

Definition at line 88 of file cotswaptofwdadapter.hpp.

numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements MarketModel.

Definition at line 92 of file cotswaptofwdadapter.hpp.

pseudoRoot()

const Matrix & pseudoRoot ( Size  i ) const

overridevirtual

Implements MarketModel.

Definition at line 96 of file cotswaptofwdadapter.hpp.

Member Data Documentation

coterminalModel_

ext::shared_ptr<MarketModel> coterminalModel_

private

Definition at line 46 of file cotswaptofwdadapter.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 47 of file cotswaptofwdadapter.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 47 of file cotswaptofwdadapter.hpp.

numberOfSteps_

Size numberOfSteps_

private

Definition at line 47 of file cotswaptofwdadapter.hpp.

initialRates_

std::vector<Rate> initialRates_

private

Definition at line 48 of file cotswaptofwdadapter.hpp.

pseudoRoots_

std::vector<Matrix> pseudoRoots_

private

Definition at line 49 of file cotswaptofwdadapter.hpp.