Drift computation for coterminal swap market models. More...
#include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp>
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. | |
Drift computation for coterminal swap market models.
Returns the drift \( \mu \Delta t \). See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.