CurveState Class Reference

#include <ql/MarketModels/curvestate.hpp>

List of all members.


Detailed Description

This class stores the state of the yield curve associated to the fixed calendar times within the simulation.

This is the workhorse discounting object associated to the rate times of the simulation. It's important to pass the rates via an object like this to the product rather than directly to make it easier to switch to other engines such as a coterminal-swap-rate engine.

Many products will not need expired rates and others will only require the first rate.


Public Member Functions

 CurveState (const std::vector< Time > &rateTimes)
template<class ForwardIterator>
 CurveState (ForwardIterator begin, ForwardIterator end)
const std::vector< Time > & rateTimes () const
void setOnForwardRates (const std::vector< Rate > &rates)
template<class ForwardIterator>
void setOnForwardRates (ForwardIterator begin, ForwardIterator end)
void setOnDiscountRatios (const std::vector< DiscountFactor > &discountRatios)
void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates)
const std::vector< Rate > & forwardRates () const
const std::vector< DiscountFactor > & discountRatios () const
const std::vector< Rate > & coterminalSwapRates () const
const std::vector< Real > & coterminalSwapRatesAnnuities () const
Rate forwardRate (Size i) const
Real discountRatio (Size i, Size j) const
Rate coterminalSwapRate (Size i) const
const std::vector< Time > & rateTaus () const