LMMNormalDriftCalculator Class Reference

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

List of all members.


Detailed Description

Drift computation for 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.


Public Member Functions

 LMMNormalDriftCalculator (const Matrix &pseudo, 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], modified for normal forward rates dynamic (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], modified for normal forward rates dynamic (uses pseudo square root of the covariance matrix).