QuantLib_LMMDriftCalculator man page

LMMDriftCalculator — Drift computation for log-normal Libor market models.  

Synopsis

#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>

Public Member Functions

LMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const
Computes the drifts.
void compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void computePlain (const LMMCurveState &cs, std::vector< Real > &drifts) const
void computePlain (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void computeReduced (const LMMCurveState &cs, std::vector< Real > &drifts) const
void computeReduced (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const

Detailed Description

Drift computation for log-normal Libor 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.

Member Function Documentation

void computePlain (const LMMCurveState & cs, std::vector< Real > & drifts) const

Computes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).

void computeReduced (const LMMCurveState & cs, std::vector< Real > & drifts) const

Computes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).

Author

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Referenced By

The man pages computePlain(3), computeReduced(3) and LMMDriftCalculator(3) are aliases of QuantLib_LMMDriftCalculator(3).

Wed Aug 2 2017 Version 1.10 QuantLib