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QuantLib_SMMDriftCalculator
Langue: en
Version: 379892 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SMMDriftCalculator -Drift computation for coterminal swap market models.
SYNOPSIS
#include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp>
Public Member Functions
SMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void compute (const CoterminalSwapCurveState &cs, std::vector< Real > &drifts) const
Computes the drifts.
Detailed Description
Drift computation for coterminal swap market models.
Returns the drift $ mu Delta t $. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.
Author
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