CurveState

Overview

functions to construct and use CurveState objects.

Function List

qlCMSwapCurveState ()
qlCMSwapCurveStateSetOnCMSwapRates ()
qlConstantMaturitySwapAnnuitiesFromDiscountRatios ()
qlConstantMaturitySwapRatesFromDiscountRatios ()
qlCoterminalSwapAnnuitiesFromDiscountRatios ()
qlCoterminalSwapCurveState ()
qlCoterminalSwapCurveStateSetOnCoterminalSwapRates ()
qlCoterminalSwapRatesFromDiscountRatios ()
qlCurveStateCMSwapRates ()
qlCurveStateCoterminalSwapRates ()
qlCurveStateForwardRates ()
qlCurveStateRateTaus ()
qlCurveStateRateTimes ()
qlForwardsFromDiscountRatios ()
qlLMMCurveState ()
qlLMMCurveStateSetOnDiscountRatios ()
qlLMMCurveStateSetOnForwardRates ()

Function Documentation

qlCMSwapCurveState

string returnValue
 
qlCMSwapCurveState(
        string ObjectId
        vector<double> RateTimes
        long SpanningForwards
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CMSwapCurveState and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
SpanningForwards	number of forwards underlying the CMS.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCMSwapCurveStateSetOnCMSwapRates

void returnValue
 
qlCMSwapCurveStateSetOnCMSwapRates(
        string ObjectId
        vector<double> CMSwapRates
        any Trigger)

Description:

set the CurveState object on given vector of coterminal swaps.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CMSwapCurveState object
CMSwapRates	Coterminal swap rates.
Trigger	dependency tracking trigger

qlConstantMaturitySwapAnnuitiesFromDiscountRatios

vector<double> returnValue
 
qlConstantMaturitySwapAnnuitiesFromDiscountRatios(
        long SpanningForwards
        long FirstValidIndex
        vector<double> DiscountRatios
        vector<double> Taus
        any Trigger)

Description:

Returns constant maturity swap annuities from discount ratios.

Supported Platforms:

Excel

Parameters

SpanningForwards	number of forward rates spanned by the constant maturity swap.
FirstValidIndex	marks the first non expired discount bond.
DiscountRatios	vector of discount bond ratios.
Taus	rate time intervals.
Trigger	dependency tracking trigger

qlConstantMaturitySwapRatesFromDiscountRatios

vector<double> returnValue
 
qlConstantMaturitySwapRatesFromDiscountRatios(
        long SpanningForwards
        long FirstValidIndex
        vector<double> DiscountRatios
        vector<double> Taus
        any Trigger)

Description:

Returns constant maturity swap rates from discount ratios.

Supported Platforms:

Excel

Parameters

SpanningForwards	number of forward rates spanned by the constant maturity swap.
FirstValidIndex	marks the first non expired discount bond.
DiscountRatios	vector of discount bond ratios.
Taus	rate time intervals.
Trigger	dependency tracking trigger

qlCoterminalSwapAnnuitiesFromDiscountRatios

vector<double> returnValue
 
qlCoterminalSwapAnnuitiesFromDiscountRatios(
        long FirstValidIndex
        vector<double> DiscountRatios
        vector<double> Taus
        any Trigger)

Description:

Returns the coterminal swap annuities implied from discount bond ratios.

Supported Platforms:

Excel

Parameters

FirstValidIndex	marks the first non expired discount bond.
DiscountRatios	vector of discount bond ratios.
Taus	rate time intervals.
Trigger	dependency tracking trigger

qlCoterminalSwapCurveState

string returnValue
 
qlCoterminalSwapCurveState(
        string ObjectId
        vector<double> RateTimes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CoterminalSwapCurveState and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCoterminalSwapCurveStateSetOnCoterminalSwapRates

void returnValue
 
qlCoterminalSwapCurveStateSetOnCoterminalSwapRates(
        string ObjectId
        vector<double> CoterminalSwaps
        any Trigger)

Description:

set the CurveState object on given vector of coterminal swaps.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CoterminalSwapCurveState object
CoterminalSwaps	Coterminal swap rates.
Trigger	dependency tracking trigger

qlCoterminalSwapRatesFromDiscountRatios

vector<double> returnValue
 
qlCoterminalSwapRatesFromDiscountRatios(
        long FirstValidIndex
        vector<double> DiscountRatios
        vector<double> Taus
        any Trigger)

Description:

Returns the coterminal swap rates implied from discount bond ratios.

Supported Platforms:

Excel

Parameters

FirstValidIndex	marks the first non expired discount bond.
DiscountRatios	vector of discount bond ratios.
Taus	rate time intervals.
Trigger	dependency tracking trigger

qlCurveStateCMSwapRates

vector<double> returnValue
 
qlCurveStateCMSwapRates(
        string ObjectId
        long SpanningForwards
        any Trigger)

Description:

Returns the current swap rates of the CurveState object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CurveState object
SpanningForwards	number of forwards underlying the CMS.
Trigger	dependency tracking trigger

qlCurveStateCoterminalSwapRates

vector<double> returnValue
 
qlCurveStateCoterminalSwapRates(
        string ObjectId
        any Trigger)

Description:

Returns the current swap rates of the CurveState object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CurveState object
Trigger	dependency tracking trigger

qlCurveStateForwardRates

vector<double> returnValue
 
qlCurveStateForwardRates(
        string ObjectId
        any Trigger)

Description:

Returns the current forward rates of the CurveState object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CurveState object
Trigger	dependency tracking trigger

qlCurveStateRateTaus

vector<double> returnValue
 
qlCurveStateRateTaus(
        string ObjectId
        any Trigger)

Description:

return the rate taus of the CurveState object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CurveState object
Trigger	dependency tracking trigger

qlCurveStateRateTimes

vector<double> returnValue
 
qlCurveStateRateTimes(
        string ObjectId
        any Trigger)

Description:

return the rate times of the CurveState object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CurveState object
Trigger	dependency tracking trigger

qlForwardsFromDiscountRatios

vector<double> returnValue
 
qlForwardsFromDiscountRatios(
        long FirstValidIndex
        vector<double> DiscountRatios
        vector<double> Taus
        any Trigger)

Description:

Returns the forward rates implied from discount bond ratios.

Supported Platforms:

Excel

Parameters

FirstValidIndex	marks the first non expired discount bond.
DiscountRatios	vector of discount bond ratios.
Taus	rate time intervals.
Trigger	dependency tracking trigger

qlLMMCurveState

string returnValue
 
qlLMMCurveState(
        string ObjectId
        vector<double> RateTimes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LMMCurveState and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLMMCurveStateSetOnDiscountRatios

void returnValue
 
qlLMMCurveStateSetOnDiscountRatios(
        string ObjectId
        vector<double> DiscountRatios
        any Trigger)

Description:

set the CurveState object on given vector of discount ratios.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::LMMCurveState object
DiscountRatios	discount ratios.
Trigger	dependency tracking trigger

qlLMMCurveStateSetOnForwardRates

void returnValue
 
qlLMMCurveStateSetOnForwardRates(
        string ObjectId
        vector<double> Rates
        any Trigger)

Description:

set the CurveState object on given vector of forward rates.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::LMMCurveState object
Rates	forward rates.
Trigger	dependency tracking trigger