Utility functions for mapping between forward rates of varying tenor. More...
#include <ql/math/matrix.hpp>
Functions | |
Disposable< Matrix > | ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset) |
Disposable< Matrix > | YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset) |
LMMCurveState | RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet) |
Utility functions for mapping between forward rates of varying tenor.