CMSMMDriftCalculator Class Reference
#include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp>
Detailed Description
Drift computation for CMS market models.
Returns the drift . See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market Model, Wilmott Magazine, May 2003.
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. |