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< 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.