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smmdriftcalculator.hpp
Langue: en
Version: 374812 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp -Drift computation for coterminal-swap market model.
SYNOPSIS
#include <ql/math/matrix.hpp>
#include <vector>
Classes
class SMMDriftCalculator
Drift computation for coterminal swap market models.
Detailed Description
Drift computation for coterminal-swap market model.
Author
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