QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
CmsMarket Class Reference

set of CMS quotes More...

#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

+ Inheritance diagram for CmsMarket:

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< CmsCouponPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS)
 
void reprice (const Handle< SwaptionVolatilityStructure > &volStructure, Real meanReversion)
 
const std::vector< Period > & swapTenors () const
 
const std::vector< Period > & swapLengths () const
 
const MatriximpliedCmsSpreads ()
 
const MatrixspreadErrors ()
 
Matrix browse () const
 
Real weightedSpreadError (const Matrix &weights)
 
Real weightedSpotNpvError (const Matrix &weights)
 
Real weightedFwdNpvError (const Matrix &weights)
 
Disposable< ArrayweightedSpreadErrors (const Matrix &weights)
 
Disposable< ArrayweightedSpotNpvErrors (const Matrix &weights)
 
Disposable< ArrayweightedFwdNpvErrors (const Matrix &weights)
 
LazyObject interface
void update ()
 
- Public Member Functions inherited from LazyObject
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

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.