DriftCalculator Class Reference

#include <ql/MarketModels/driftcalculator.hpp>

List of all members.


Detailed Description

Drift computation for Market Models.


Public Member Functions

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


Constructor & Destructor Documentation

DriftCalculator ( const Matrix pseudo,
const std::vector< Rate > &  displacements,
const std::vector< Time > &  taus,
Size  numeraire,
Size  alive 
)

Returns the drift $ \mu \Delta t $.

See [1] "Rapid Computation of Drifts in a Reduced Factor Libor Market Model" Mark Joshi, Wilmott Magazine, May 2003.


Member Function Documentation

void computePlain ( const std::vector< Rate > &  forwards,
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 std::vector< Rate > &  forwards,
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).