forwardforwardmappings (3) Linux Manual Page

ql/models/marketmodels/forwardforwardmappings.hpp – Utility functions for mapping between forward rates of varying tenor.

Synopsis

#include <ql/math/matrix.hpp>

Functions

Disposable< Matrix > ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset)

Disposable< Matrix > YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset)

LMMCurveState RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet)

Detailed Description

Utility functions for mapping between forward rates of varying tenor.

Author

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