Class CMSwapCurveState

Curve state for constant-maturity-swap market models

Hierarchy

CurveState
- CMSwapCurveState

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CMSwapCurveState(rateTimes: Time[], spanningForwards: Size): CMSwapCurveState

Overrides CurveState.constructor
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:10
Parameters
- rateTimes: Time[]
- spanningForwards: Size
Returns CMSwapCurveState

Properties

Private _cmSwapAnnuities

_cmSwapAnnuities: Real[]

Private _cmSwapRates

_cmSwapRates: Rate[]

Private _cotAnnuities

_cotAnnuities: Real[]

Private _cotSwapRates

_cotSwapRates: Rate[]

Private _discRatios

_discRatios: DiscountFactor[]

Private _first

_first: Size

Private _forwardRates

_forwardRates: Rate[]

Private _irrCMSwapAnnuities

_irrCMSwapAnnuities: Real[]

Private _irrCMSwapRates

_irrCMSwapRates: Rate[]

Protected _numberOfRates

_numberOfRates: Size

Protected _rateTaus

_rateTaus: Time[]

Protected _rateTimes

_rateTimes: Time[]

Private _spanningFwds

_spanningFwds: Size

Methods

clone

clone(): CurveState

Overrides CurveState.clone
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:205
Returns CurveState

cmSwapAnnuity

cmSwapAnnuity(numeraire: Size, i: Size, spanningForwards: Size): Rate

Overrides CurveState.cmSwapAnnuity
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:152
Parameters
- numeraire: Size
- i: Size
- spanningForwards: Size
Returns Rate

cmSwapRate

cmSwapRate(i: Size, spanningForwards: Size): Rate

Overrides CurveState.cmSwapRate
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:135
Parameters
- i: Size
- spanningForwards: Size
Returns Rate

cmSwapRates

cmSwapRates(spanningForwards: Size): Rate[]

Overrides CurveState.cmSwapRates
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:191
Parameters
- spanningForwards: Size
Returns Rate[]

coterminalSwapAnnuity

coterminalSwapAnnuity(numeraire: Size, i: Size): Rate

Overrides CurveState.coterminalSwapAnnuity
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:119
Parameters
- numeraire: Size
- i: Size
Returns Rate

coterminalSwapRate

coterminalSwapRate(i: Size): Rate

Overrides CurveState.coterminalSwapRate
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:106
Parameters
- i: Size
Returns Rate

coterminalSwapRates

coterminalSwapRates(): Rate[]

Overrides CurveState.coterminalSwapRates
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:181
Returns Rate[]

discountRatio

discountRatio(i: Size, j: Size): Real

Overrides CurveState.discountRatio
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:81
Parameters
- i: Size
- j: Size
Returns Real

forwardRate

forwardRate(i: Size): Rate

Overrides CurveState.forwardRate
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:94
Parameters
- i: Size
Returns Rate

forwardRates

forwardRates(): Rate[]

Overrides CurveState.forwardRates
- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:172
Returns Rate[]

numberOfRates

numberOfRates(): Size

Inherited from CurveState.numberOfRates
- Defined in ql/models/marketmodels/curvestate.ts:43
Returns Size

rateTaus

rateTaus(): Time[]

Inherited from CurveState.rateTaus
- Defined in ql/models/marketmodels/curvestate.ts:50
Returns Time[]

rateTimes

rateTimes(): Time[]

Inherited from CurveState.rateTimes
- Defined in ql/models/marketmodels/curvestate.ts:47
Returns Time[]

setOnCMSwapRates

setOnCMSwapRates(rates: Rate[], firstValidIndex?: Size): void

- Defined in ql/models/marketmodels/curvestates/cmswapcurvestate.ts:28
Parameters
- rates: Rate[]
- Default value firstValidIndex: Size = 0
Returns void

swapRate

swapRate(begin: Size, end: Size): Rate

Inherited from CurveState.swapRate
- Defined in ql/models/marketmodels/curvestate.ts:82
Parameters
- begin: Size
- end: Size
Returns Rate