QuantLib: C:/dev/QuantLib/ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp File Reference

Loading [MathJax]/extensions/tex2jax.js

QuantLib: a free/open-source library for quantitative finance

fully annotated source code - version 1.34

•All Classes Namespaces Files Functions Variables Typedefs Enumerations Enumerator Friends Macros Modules Pages

Drift computation for normal Libor market model. More...

#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <vector>

Go to the source code of this file.

Classes
class	LMMNormalDriftCalculator
	Drift computation for normal Libor market models. More...

Namespaces
namespace	QuantLib

Detailed Description

Drift computation for normal Libor market model.

Definition in file lmmnormaldriftcalculator.hpp.