SMMDriftCalculator Class Reference
Drift computation for coterminal swap market models. More...
#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
. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.