SMMDriftCalculator (3) Linux Manual Page
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.