LMMDriftCalculator Class Reference
#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
Detailed Description
Drift computation for log-normal Libor 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 | |
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 |
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).