swapforwardmappings.hpp

有很多的函数库

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 Mark Joshi

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <[e-mail]>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file swapforwardmappings.hpp
    \brief Utility functions for mapping between swap rate and forward rate
*/

#ifndef quantlib_swap_forward_mappings_hpp
#define quantlib_swap_forward_mappings_hpp

#include <ql/math/matrix.hpp>

namespace QuantLib {

    class CurveState;

    class SwapForwardMappings {
      public:

        /*! Returns the dsr[i]/df[j] jacobian between
            coterminal swap rates and forward rates */
        static Disposable<Matrix>
        coterminalSwapForwardJacobian(const CurveState& cs);

        /*! Returns the Z matrix to switch base from forward to
            coterminal swap rates */
        static Disposable<Matrix>
        coterminalSwapZedMatrix(const CurveState& cs,
                                const Spread displacement);

        /*! \ todo implement the following
            Returns the dsr[i]/df[j] jacobian between
            constant maturity swap rates and forward rates */
        static Disposable<Matrix>
        cmSwapForwardJacobian(const CurveState& cs);

        /*! \ todo implement the following
            Returns the Z matrix to switch base from forward to
            coterminal swap rates */
        static Disposable<Matrix>
        cmSwapZedMatrix(const CurveState& cs,
                        const Spread displacement);

    };

}

#endif