CMSwapCurveState Class Reference

Curve state for constant-maturity-swap market models More...

#include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp>

Inheritance diagram for CMSwapCurveState:

List of all members.

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< CurveStateclone () const

Detailed Description

Curve state for constant-maturity-swap market models