forwardforwardmappings.hpp File Reference

Utility functions for mapping between forward rates of varying tenor. More...

#include <ql/math/matrix.hpp>

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Namespaces
namespace	QuantLib
namespace	QuantLib::ForwardForwardMappings

Functions
Matrix	ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset)
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)

Detailed Description

Utility functions for mapping between forward rates of varying tenor.

Definition in file forwardforwardmappings.hpp.