CmsMarket Class Reference

#include <ql/termstructures/volatilities/cmsmarket.hpp>

Inheritance diagram for CmsMarket:

Inheritance graph
[legend]
List of all members.

Detailed Description

set of CMS quotes


Public Member Functions

 CmsMarket (const std::vector< Period > &expiries, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndices, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< CmsCouponPricer > > &pricers, const Handle< YieldTermStructure > &yieldTermStructure)
void reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
const std::vector< Period > & swapTenors () const
Matrix meanReversions ()
Matrix impliedCmsSpreads ()
Matrix spreadErrors ()
Matrix browse () const
Real weightedError (const Matrix &weights)
Real weightedPriceError (const Matrix &weights)
Real weightedForwardPriceError (const Matrix &weights)
Disposable< ArrayweightedErrors (const Matrix &weights)
Disposable< ArrayweightedPriceErrors (const Matrix &weights)
Disposable< ArrayweightedForwardPriceErrors (const Matrix &weights)
LazyObject interface
void update ()


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.