org.jquantlib.model.marketmodels

Class CurveState

java.lang.Object

org.jquantlib.model.marketmodels.CurveState

public class CurveState
extends java.lang.Object

Curve state for market-model simulations

This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is the workhorse discounting object associated to the rate times of the simulation. It's important to pass the rates via an object like this to the product rather than directly to make it easier to switch to other engines such as a coterminal swap rate engine. Many products will not need expired rates and others will only require the first rate.

Constructor Summary

Constructors

Constructor and Description
CurveState(double[] rateTimes)

Method Summary

Modifier and Type	Method and Description
double	swapRate(int begin, int end)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CurveState

public CurveState(double[] rateTimes)

Method Detail

swapRate

public double swapRate(int begin,
                       int end)