QuantLib_CMSMMDriftCalculator man page

CMSMMDriftCalculator — Drift computation for CMS market models.


#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.


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Referenced By

CMSMMDriftCalculator(3) and compute(3) are aliases of QuantLib_CMSMMDriftCalculator(3).

QuantLib Version 1.8.1 Fri Sep 23 2016