SMMDriftCalculator Class Reference

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

List of all members.


Detailed Description

Drift computation for coterminal swap market models.

Returns the drift $ \mu \Delta t $. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.


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.