QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lmmdriftcalculator.hpp File Reference

Drift computation for Libor market model. More...

#include <ql/math/matrix.hpp>
#include <vector>

Go to the source code of this file.

Classes

class  LMMDriftCalculator
 Drift computation for log-normal Libor market models. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Drift computation for Libor market model.

Definition in file lmmdriftcalculator.hpp.