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QuantLib_LMMDriftCalculator
Langue: en
Version: 382115 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- void computePlain (const LMMCurveState & cs, std::vector< Real > & drifts) constComputes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).
- void computeReduced (const LMMCurveState & cs, std::vector< Real > & drifts) constComputes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).
- Author
NAME
QuantLib::LMMDriftCalculator -Drift computation for log-normal Libor market models.
SYNOPSIS
#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
Public Member Functions
LMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const
Computes the drifts.
void compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void computePlain (const LMMCurveState &cs, std::vector< Real > &drifts) const
void computePlain (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void computeReduced (const LMMCurveState &cs, std::vector< Real > &drifts) const
void computeReduced (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
Detailed Description
Drift computation for log-normal Libor market models.
Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market Model, Wilmott Magazine, May 2003.
Member Function Documentation
void computePlain (const LMMCurveState & cs, std::vector< Real > & drifts) constComputes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).
void computeReduced (const LMMCurveState & cs, std::vector< Real > & drifts) constComputes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).
Author
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