LMMCurveState Class Reference
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
Inheritance diagram for LMMCurveState:

Detailed Description
Curve state for Libor market modelsThis 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 | |
LMMCurveState (const std::vector< Time > &rateTimes) | |
std::auto_ptr< CurveState > | clone () const |
Modifiers | |
void | setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) |
void | setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, 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 |