DriftCalculator Class Reference
#include <ql/MarketModels/driftcalculator.hpp>
Detailed Description
Drift computation for Market Models.
Public Member Functions | |
| DriftCalculator (const Matrix &pseudo, const std::vector< Rate > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive) | |
| void | compute (const std::vector< Rate > &forwards, std::vector< Real > &drifts) const |
| Computes the drifts. | |
| void | computePlain (const std::vector< Rate > &forwards, std::vector< Real > &drifts) const |
| void | computeReduced (const std::vector< Rate > &forwards, std::vector< Real > &drifts) const |
Constructor & Destructor Documentation
| DriftCalculator | ( | const Matrix & | pseudo, | |
| const std::vector< Rate > & | displacements, | |||
| const std::vector< Time > & | taus, | |||
| Size | numeraire, | |||
| Size | alive | |||
| ) |
Returns the drift
.
See [1] "Rapid Computation of Drifts in a Reduced Factor Libor Market Model" Mark Joshi, Wilmott Magazine, May 2003.
Member Function Documentation
| void computePlain | ( | const std::vector< Rate > & | forwards, | |
| 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 std::vector< Rate > & | forwards, | |
| 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).