CmsMarket Class Reference
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#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 quotesMember 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.