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 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 () |
Public Member Functions inherited from LazyObject | |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
set of CMS quotes
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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.