SwapForwardMappings Class Reference

#include <ql/models/marketmodels/swapforwardmappings.hpp>

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Static Public Member Functions
static Real	annuity (const CurveState &cs, Size startIndex, Size endIndex, Size numeraireIndex)
	compute annuity of arbitrary swap-rate More...
static Real	swapDerivative (const CurveState &cs, Size startIndex, Size endIndex, Size forwardIndex)
	compute derivative of swap-rate to underlying forward rate More...
static Matrix	coterminalSwapForwardJacobian (const CurveState &cs)
static Matrix	coterminalSwapZedMatrix (const CurveState &cs, Spread displacement)
static Matrix	coinitialSwapForwardJacobian (const CurveState &cs)
static Matrix	coinitialSwapZedMatrix (const CurveState &cs, Spread displacement)
static Matrix	cmSwapForwardJacobian (const CurveState &cs, Size spanningForwards)
static Matrix	cmSwapZedMatrix (const CurveState &cs, Size spanningForwards, Spread displacement)
static Real	swaptionImpliedVolatility (const MarketModel &volStructure, Size startIndex, Size endIndex)

Detailed Description

Definition at line 35 of file swapforwardmappings.hpp.

Member Function Documentation

annuity()

Real annuity ( const CurveState &  cs, Size  startIndex, Size  endIndex, Size  numeraireIndex  )

static

compute annuity of arbitrary swap-rate

Definition at line 33 of file swapforwardmappings.cpp.

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swapDerivative()

Real swapDerivative ( const CurveState &  cs, Size  startIndex, Size  endIndex, Size  forwardIndex  )

static

compute derivative of swap-rate to underlying forward rate

Definition at line 45 of file swapforwardmappings.cpp.

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coterminalSwapForwardJacobian()

Matrix coterminalSwapForwardJacobian ( const CurveState &  cs )

static

Returns the dsr[i]/df[j] jacobian between coterminal swap rates and forward rates

Definition at line 72 of file swapforwardmappings.cpp.

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coterminalSwapZedMatrix()

Matrix coterminalSwapZedMatrix ( const CurveState &  cs, Spread  displacement  )

static

Returns the Z matrix to switch base from forward to coterminal swap rates

Definition at line 102 of file swapforwardmappings.cpp.

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coinitialSwapForwardJacobian()

Matrix coinitialSwapForwardJacobian ( const CurveState &  cs )

static

Returns the dsr[i]/df[j] jacobian between coinitial swap rates and forward rates

Definition at line 115 of file swapforwardmappings.cpp.

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coinitialSwapZedMatrix()

Matrix coinitialSwapZedMatrix ( const CurveState &  cs, Spread  displacement  )

static

Returns the Z matrix to switch base from forward to coinitial swap rates

Definition at line 140 of file swapforwardmappings.cpp.

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cmSwapForwardJacobian()

Matrix cmSwapForwardJacobian ( const CurveState &  cs, Size  spanningForwards  )

static

Returns the dsr[i]/df[j] jacobian between constant maturity swap rates and forward rates

Definition at line 127 of file swapforwardmappings.cpp.

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cmSwapZedMatrix()

Matrix cmSwapZedMatrix ( const CurveState &  cs, Size  spanningForwards, Spread  displacement  )

static

Returns the Z matrix to switch base from forward to constant maturity swap rates

Definition at line 157 of file swapforwardmappings.cpp.

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swaptionImpliedVolatility()

Real swaptionImpliedVolatility ( const MarketModel &  volStructure, Size  startIndex, Size  endIndex  )

static

computes the implied vol of a swaption specified by two indices using the freezing coefficients methdodology. This routine is easy to use but not very efficient and if you want to do a lot of cases, then a different approach should be used.

Tested in SwapForwardMappingsTest::testSwaptionImpliedVolatility() in swapforwardmappings.cpp

Definition at line 175 of file swapforwardmappings.cpp.

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