lmmnormaldriftcalculator (3) - Linux Manuals

lmmnormaldriftcalculator: Drift computation for normal Libor market model.

NAME

ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp - Drift computation for normal Libor market model.

SYNOPSIS

#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <vector>

Classes

class LMMNormalDriftCalculator
Drift computation for normal Libor market models.

Detailed Description

Drift computation for normal Libor market model.

Author

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