SMMDriftCalculator Class Reference

Drift computation for coterminal swap market models. More...

#include <smmdriftcalculator.hpp>

Collaboration diagram for SMMDriftCalculator:

Public Member Functions
	SMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void	compute (const CoterminalSwapCurveState &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	wkaj_
Matrix	wkpj_
Matrix	wkajshifted_

Detailed Description

Drift computation for coterminal swap market models.

Returns the drift \( \mu \Delta t \). See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.

Definition at line 40 of file smmdriftcalculator.hpp.

Constructor & Destructor Documentation

SMMDriftCalculator()

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

Definition at line 26 of file smmdriftcalculator.cpp.

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Member Function Documentation

compute()

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

Computes the drifts.

Definition at line 71 of file smmdriftcalculator.cpp.

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Member Data Documentation

numberOfRates_

Size numberOfRates_

private

Definition at line 51 of file smmdriftcalculator.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 51 of file smmdriftcalculator.hpp.

numeraire_

Size numeraire_

private

Definition at line 52 of file smmdriftcalculator.hpp.

alive_

Size alive_

private

Definition at line 52 of file smmdriftcalculator.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 53 of file smmdriftcalculator.hpp.

oneOverTaus_

std::vector<Real> oneOverTaus_

private

Definition at line 54 of file smmdriftcalculator.hpp.

C_

Matrix C_

private

Definition at line 55 of file smmdriftcalculator.hpp.

pseudo_

Matrix pseudo_

private

Definition at line 55 of file smmdriftcalculator.hpp.

tmp_

std::vector<Real> tmp_

mutableprivate

Definition at line 57 of file smmdriftcalculator.hpp.

wkaj_

Matrix wkaj_

mutableprivate

Definition at line 58 of file smmdriftcalculator.hpp.

wkpj_

Matrix wkpj_

mutableprivate

Definition at line 59 of file smmdriftcalculator.hpp.

wkajshifted_

Matrix wkajshifted_

mutableprivate

Definition at line 60 of file smmdriftcalculator.hpp.