LMMCurveState Class Reference

Curve state for Libor market models More...

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

Inheritance diagram for LMMCurveState:

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
Public Member Functions inherited from CurveState
	CurveState (const std::vector< Time > &rateTimes)
Size	numberOfRates () const
const std::vector< Time > &	rateTimes () const
const std::vector< Time > &	rateTaus () const
Rate	swapRate (Size begin, Size end) const

Additional Inherited Members
Protected Attributes inherited from CurveState
Size	numberOfRates_
std::vector< Time >	rateTimes_
std::vector< Time >	rateTaus_

Detailed Description

Curve state for Libor market models

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.