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.
There will n+1 rate times expressing payment and reset times
of forward rates.
Curve state for market-model simulations
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.
There will n+1 rate times expressing payment and reset times of forward rates.
|-----|-----|-----|-----|-----| (size = 6) t0 t1 t2 t3 t4 t5 rateTimes f0 f1 f2 f3 f4 forwardRates d0 d1 d2 d3 d4 d5 discountBonds d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0 discountRatios sr0 sr1 sr2 sr3 sr4