SMMDriftCalculator (3) - Linux Manuals

SMMDriftCalculator: Drift computation for coterminal swap market models.

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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