CMSMMDriftCalculator (3) Linux Manual Page
QuantLib::CMSMMDriftCalculator – Drift computation for CMS market models.
Synopsis
#include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp>Public Member Functions
CMSMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive, Size spanningFwds) void compute (const CMSwapCurveState &cs, std::vector< Real > &drifts) const
Computes the drifts.
Detailed Description
Drift computation for CMS 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.