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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_l_m_m_curve_state.html">LMMCurveState</a></li> </ul>
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<p>Curve state for Libor market models
<a href="class_quant_lib_1_1_l_m_m_curve_state.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LMMCurveState:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LMMCurveState</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes)</td></tr>
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<tr class="memitem:a8c46c0cde27036afcca8fe94bf19101d"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8c46c0cde27036afcca8fe94bf19101d"></a>
std::auto_ptr< <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> > </td><td class="memItemRight" valign="bottom"><b>clone</b> () const </td></tr>
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<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>setOnForwardRates</b> (const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &fwdRates, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> firstValidIndex=0)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>setOnDiscountRatios</b> (const std::vector< <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> > &discRatios, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> firstValidIndex=0)</td></tr>
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<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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 class="memitem:aac1391a5c503e87b171babebba6d4a60"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac1391a5c503e87b171babebba6d4a60"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>forwardRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr class="separator:aac1391a5c503e87b171babebba6d4a60"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abec96ff6545d6cd3be5d3eaef0dbd0a8"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abec96ff6545d6cd3be5d3eaef0dbd0a8"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRate</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr class="separator:abec96ff6545d6cd3be5d3eaef0dbd0a8"><td class="memSeparator" colspan="2"> </td></tr>
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<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </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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<tr class="memitem:aee06bd7c4e552385a9f4e9720b5e6b01"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee06bd7c4e552385a9f4e9720b5e6b01"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </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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<tr class="memitem:ae62cf5e5050a7c480b620a7ec2d104d1"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae62cf5e5050a7c480b620a7ec2d104d1"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </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< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>forwardRates</b> () const </td></tr>
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const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>coterminalSwapRates</b> () const </td></tr>
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const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </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="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a></td></tr>
<tr class="memitem:a88fd3af37567d6296eb23d2712a9079a inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a88fd3af37567d6296eb23d2712a9079a"></a>
 </td><td class="memItemRight" valign="bottom"><b>CurveState</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes)</td></tr>
<tr class="separator:a88fd3af37567d6296eb23d2712a9079a inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab4f4847a3bfe9c8a8ea499a4e20643cf inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab4f4847a3bfe9c8a8ea499a4e20643cf"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfRates</b> () const </td></tr>
<tr class="separator:ab4f4847a3bfe9c8a8ea499a4e20643cf inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab2d70b43df80ed4117064171d7a09cc3 inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab2d70b43df80ed4117064171d7a09cc3"></a>
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>rateTimes</b> () const </td></tr>
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<tr class="memitem:a354ca1793c355a773e185886211db03a inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a354ca1793c355a773e185886211db03a"></a>
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>rateTaus</b> () const </td></tr>
<tr class="separator:a354ca1793c355a773e185886211db03a inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7cabb9353f71c83cffb42b0fc489a5c2 inherit pub_methods_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7cabb9353f71c83cffb42b0fc489a5c2"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </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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Additional Inherited Members</h2></td></tr>
<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="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a></td></tr>
<tr class="memitem:a9c042abcd446925e95dde36619f5bf6d inherit pro_attribs_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9c042abcd446925e95dde36619f5bf6d"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfRates_</b></td></tr>
<tr class="separator:a9c042abcd446925e95dde36619f5bf6d inherit pro_attribs_class_quant_lib_1_1_curve_state"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7c5eaa190a38d0d5e7e28ce0a5dafc6f inherit pro_attribs_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c5eaa190a38d0d5e7e28ce0a5dafc6f"></a>
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>rateTimes_</b></td></tr>
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<tr class="memitem:aa688289997396acdd1ad9b7c64735213 inherit pro_attribs_class_quant_lib_1_1_curve_state"><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa688289997396acdd1ad9b7c64735213"></a>
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>rateTaus_</b></td></tr>
<tr class="separator:aa688289997396acdd1ad9b7c64735213 inherit pro_attribs_class_quant_lib_1_1_curve_state"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Curve state for Libor market models </p>
<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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