LMMDriftCalculator Class Reference

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

#include <lmmdriftcalculator.hpp>

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Public Member Functions
	LMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void	compute (const LMMCurveState &cs, std::vector< Real > &drifts) const
	Computes the drifts. More...
void	compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void	computePlain (const LMMCurveState &cs, std::vector< Real > &drifts) const
void	computePlain (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void	computeReduced (const LMMCurveState &cs, std::vector< Real > &drifts) const
void	computeReduced (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const

Private Attributes
Size	numberOfRates_
Size	numberOfFactors_
bool	isFullFactor_
Size	numeraire_
Size	alive_
std::vector< Spread >	displacements_
std::vector< Real >	oneOverTaus_
Matrix	C_
Matrix	pseudo_
std::vector< Real >	tmp_
Matrix	e_
std::vector< Size >	downs_
std::vector< Size >	ups_

Detailed Description

Drift computation for log-normal Libor 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 40 of file lmmdriftcalculator.hpp.

Constructor & Destructor Documentation

LMMDriftCalculator()

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

Definition at line 29 of file lmmdriftcalculator.cpp.

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Member Function Documentation

compute() [1/2]

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

Computes the drifts.

Definition at line 67 of file lmmdriftcalculator.cpp.

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compute() [2/2]

void compute	(	const std::vector< Rate > &	fwds,
		std::vector< Real > &	drifts
	)		const

Definition at line 72 of file lmmdriftcalculator.cpp.

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computePlain() [1/2]

void computePlain	(	const LMMCurveState &	cs,
		std::vector< Real > &	drifts
	)		const

Computes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).

Definition at line 85 of file lmmdriftcalculator.cpp.

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computePlain() [2/2]

void computePlain	(	const std::vector< Rate > &	fwds,
		std::vector< Real > &	drifts
	)		const

Definition at line 90 of file lmmdriftcalculator.cpp.

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computeReduced() [1/2]

void computeReduced	(	const LMMCurveState &	cs,
		std::vector< Real > &	drifts
	)		const

Computes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).

Definition at line 112 of file lmmdriftcalculator.cpp.

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computeReduced() [2/2]

void computeReduced	(	const std::vector< Rate > &	fwds,
		std::vector< Real > &	drifts
	)		const

Definition at line 117 of file lmmdriftcalculator.cpp.

Member Data Documentation

numberOfRates_

Size numberOfRates_

private

Definition at line 68 of file lmmdriftcalculator.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 68 of file lmmdriftcalculator.hpp.

isFullFactor_

bool isFullFactor_

private

Definition at line 69 of file lmmdriftcalculator.hpp.

numeraire_

Size numeraire_

private

Definition at line 70 of file lmmdriftcalculator.hpp.

alive_

Size alive_

private

Definition at line 70 of file lmmdriftcalculator.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 71 of file lmmdriftcalculator.hpp.

oneOverTaus_

std::vector<Real> oneOverTaus_

private

Definition at line 72 of file lmmdriftcalculator.hpp.

C_

Matrix C_

private

Definition at line 73 of file lmmdriftcalculator.hpp.

pseudo_

Matrix pseudo_

private

Definition at line 73 of file lmmdriftcalculator.hpp.

tmp_

std::vector<Real> tmp_

mutableprivate

Definition at line 75 of file lmmdriftcalculator.hpp.

e_

Matrix e_

mutableprivate

Definition at line 76 of file lmmdriftcalculator.hpp.

downs_

std::vector<Size> downs_

private

Definition at line 77 of file lmmdriftcalculator.hpp.

ups_

std::vector<Size> ups_

private

Definition at line 77 of file lmmdriftcalculator.hpp.