- QuantLib
- CmsMarket
 
set of CMS quotes More...
#include <ql/termstructures/volatility/swaption/cmsmarket.hpp>

| 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 () | 
set of CMS quotes
| 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.