- QuantLib
- CMSwapCurveState
Curve state for constant-maturity-swap market models More...
#include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp>

Public Member Functions | |
| CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards) | |
Modifiers | |
| void | setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0) |
Inspectors | |
| Real | discountRatio (Size i, Size j) const |
| Rate | forwardRate (Size i) const |
| Rate | coterminalSwapRate (Size i) const |
| Rate | coterminalSwapAnnuity (Size numeraire, Size i) const |
| Rate | cmSwapRate (Size i, Size spanningForwards) const |
| Rate | cmSwapAnnuity (Size numeraire, Size i, Size spanningForwards) const |
| const std::vector< Rate > & | forwardRates () const |
| const std::vector< Rate > & | coterminalSwapRates () const |
| const std::vector< Rate > & | cmSwapRates (Size spanningForwards) const |
| std::auto_ptr< CurveState > | clone () const |
Curve state for constant-maturity-swap market models