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forwardforwardmappings.hpp
Langue: en
Version: 375547 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/models/marketmodels/forwardforwardmappings.hpp -Utility functions for mapping between forward rates of varying tenor.
SYNOPSIS
#include <ql/math/matrix.hpp>
Functions
Disposable< Matrix > ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset)
Disposable< Matrix > YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset)
LMMCurveState RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet)
Detailed Description
Utility functions for mapping between forward rates of varying tenor.
Author
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