CmsMarket Class Reference

set of CMS quotes More...

#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

Inheritance diagram for CmsMarket:

List of all members.

Public Member Functions

 CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS)
void reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
const std::vector< Period > & swapTenors () const
const MatriximpliedCmsSpreads ()
const MatrixspreadErrors ()
Matrix browse () const
Real weightedSpreadError (const Matrix &weights)
Real weightedSpotNpvError (const Matrix &weights)
Real weightedFwdNpvError (const Matrix &weights)
Disposable< ArrayweightedSpreadErrors (const Matrix &weights)
Disposable< ArrayweightedSpotNpvErrors (const Matrix &weights)
Disposable< ArrayweightedFwdNpvErrors (const Matrix &weights)
LazyObject interface
void update ()


Detailed Description

set of CMS quotes

Member Function Documentation

void update (  )  [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.