QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Public Member Functions | List of all members
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.

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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.

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◆ 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.