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QuantLib_CmsMarket
Langue: en
Version: 382971 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CmsMarket -set of CMS quotes
SYNOPSIS
#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>
Inherits QuantLib::LazyObject.
Public Member Functions
CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS)
void reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
const std::vector< Period > & swapTenors () const
const Matrix & impliedCmsSpreads ()
const Matrix & spreadErrors ()
Matrix browse () const
Real weightedSpreadError (const Matrix &weights)
Real weightedSpotNpvError (const Matrix &weights)
Real weightedFwdNpvError (const Matrix &weights)
Disposable< Array > weightedSpreadErrors (const Matrix &weights)
Disposable< Array > weightedSpotNpvErrors (const Matrix &weights)
Disposable< Array > weightedFwdNpvErrors (const Matrix &weights)
LazyObject interface
void update ()
Detailed Description
set of CMS quotes
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.
Author
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