CMSMMDriftCalculator Class Reference

Drift computation for CMS market models. More...

#include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp>

Collaboration diagram for CMSMMDriftCalculator:

Public Member Functions
	CMSMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive, Size spanningFwds)
void	compute (const CMSwapCurveState &cs, std::vector< Real > &drifts) const
	Computes the drifts. More...

Private Attributes
Size	numberOfRates_
Size	numberOfFactors_
Size	numeraire_
Size	alive_
std::vector< Spread >	displacements_
std::vector< Real >	oneOverTaus_
Matrix	C_
Matrix	pseudo_
std::vector< Real >	tmp_
Matrix	PjPnWk_
Matrix	wkaj_
Matrix	wkajN_
std::vector< Size >	downs_
std::vector< Size >	ups_
Size	spanningFwds_

Detailed Description

Drift computation for CMS market models.

Returns the drift \( \mu \Delta t \). See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market Model, Wilmott Magazine, May 2003.

Definition at line 42 of file cmsmmdriftcalculator.hpp.

Constructor & Destructor Documentation

CMSMMDriftCalculator()

CMSMMDriftCalculator	(	const Matrix &	pseudo,
		const std::vector< Spread > &	displacements,
		const std::vector< Time > &	taus,
		Size	numeraire,
		Size	alive,
		Size	spanningFwds
	)

Definition at line 27 of file cmsmmdriftcalculator.cpp.

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Member Function Documentation

compute()

void compute	(	const CMSwapCurveState &	cs,
		std::vector< Real > &	drifts
	)		const

Computes the drifts.

Definition at line 74 of file cmsmmdriftcalculator.cpp.

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Member Data Documentation

numberOfRates_

Size numberOfRates_

private

Definition at line 54 of file cmsmmdriftcalculator.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 54 of file cmsmmdriftcalculator.hpp.

numeraire_

Size numeraire_

private

Definition at line 55 of file cmsmmdriftcalculator.hpp.

alive_

Size alive_

private

Definition at line 55 of file cmsmmdriftcalculator.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 56 of file cmsmmdriftcalculator.hpp.

oneOverTaus_

std::vector<Real> oneOverTaus_

private

Definition at line 57 of file cmsmmdriftcalculator.hpp.

C_

Matrix C_

private

Definition at line 58 of file cmsmmdriftcalculator.hpp.

pseudo_

Matrix pseudo_

private

Definition at line 58 of file cmsmmdriftcalculator.hpp.

tmp_

std::vector<Real> tmp_

mutableprivate

Definition at line 60 of file cmsmmdriftcalculator.hpp.

PjPnWk_

Matrix PjPnWk_

mutableprivate

Definition at line 61 of file cmsmmdriftcalculator.hpp.

wkaj_

Matrix wkaj_

mutableprivate

Definition at line 62 of file cmsmmdriftcalculator.hpp.

wkajN_

Matrix wkajN_

mutableprivate

Definition at line 63 of file cmsmmdriftcalculator.hpp.

downs_

std::vector<Size> downs_

private

Definition at line 65 of file cmsmmdriftcalculator.hpp.

ups_

std::vector<Size> ups_

private

Definition at line 65 of file cmsmmdriftcalculator.hpp.

spanningFwds_

Size spanningFwds_

private

Definition at line 66 of file cmsmmdriftcalculator.hpp.