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  • Committer: Package Import Robot
  • Author(s): Dirk Eddelbuettel
  • Date: 2015-07-12 10:50:34 UTC
  • mfrom: (1.2.15)
  • Revision ID: package-import@ubuntu.com-20150712105034-pejpkaou89lhme9j
Tags: 1.6-1
* New upstream release

* As before, re-packaged upstream file QuantLib-docs-1.2.html.tar.gz 
  as described in the copyright file included with the Debian package.

* debian/rules: Added target 'patch' to sustitute reference to external
  MathJax.js with a local file URI.
* debian/control: Added Suggests: on libjs-mathjax and javascript-common

* debian/missing-sources/jquery.js: Added

* debian/control: Updated Standards-Version: to current version 

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html/class_quant_lib_1_1_l_m_m_curve_state.html
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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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<p>Curve state for Libor market models  
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>discountRatio</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
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<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac1391a5c503e87b171babebba6d4a60"></a><!-- doxytag: member="QuantLib::LMMCurveState::forwardRate" ref="aac1391a5c503e87b171babebba6d4a60" args="(Size i) const " -->
 
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<tr class="memitem:aac1391a5c503e87b171babebba6d4a60"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac1391a5c503e87b171babebba6d4a60"></a>
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
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<tr class="separator:aac1391a5c503e87b171babebba6d4a60"><td class="memSeparator" colspan="2">&#160;</td></tr>
 
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>coterminalSwapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
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<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aea7368686f038e0fdbc9341faf4003a6"></a><!-- doxytag: member="QuantLib::LMMCurveState::coterminalSwapAnnuity" ref="aea7368686f038e0fdbc9341faf4003a6" args="(Size numeraire, Size i) const " -->
 
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<tr class="separator:abec96ff6545d6cd3be5d3eaef0dbd0a8"><td class="memSeparator" colspan="2">&#160;</td></tr>
 
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<tr class="memitem:aea7368686f038e0fdbc9341faf4003a6"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aea7368686f038e0fdbc9341faf4003a6"></a>
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>coterminalSwapAnnuity</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>cmSwapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>cmSwapAnnuity</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numeraire, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
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const std::vector&lt; <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>forwardRates</b> () const </td></tr>
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const std::vector&lt; <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>coterminalSwapRates</b> () const </td></tr>
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const std::vector&lt; <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>cmSwapRates</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> spanningForwards) const </td></tr>
 
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_curve_state"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_curve_state')"><img src="closed.png" alt="-"/>&#160;Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a></td></tr>
 
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&#160;</td><td class="memItemRight" valign="bottom"><b>CurveState</b> (const std::vector&lt; <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> &gt; &amp;rateTimes)</td></tr>
 
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>&#160;</td><td class="memItemRight" valign="bottom"><b>numberOfRates</b> () const </td></tr>
 
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const std::vector&lt; <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>rateTimes</b> () const </td></tr>
 
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const std::vector&lt; <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>rateTaus</b> () const </td></tr>
 
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>&#160;</td><td class="memItemRight" valign="bottom"><b>swapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> begin, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> end) const </td></tr>
 
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</table><table class="memberdecls">
 
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
 
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Additional Inherited Members</h2></td></tr>
 
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_curve_state"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_curve_state')"><img src="closed.png" alt="-"/>&#160;Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a></td></tr>
 
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>&#160;</td><td class="memItemRight" valign="bottom"><b>numberOfRates_</b></td></tr>
 
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std::vector&lt; <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>rateTimes_</b></td></tr>
 
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std::vector&lt; <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>rateTaus_</b></td></tr>
 
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</table>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
 
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
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<div class="textblock"><p>Curve state for Libor market models </p>
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<p>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. </p>
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</div></div><!-- contents -->
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