QuantLib::ForwardForwardMappings Namespace Reference

Functions
Matrix	ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset)
Matrix	YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset)
LMMCurveState	RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet)

Function Documentation

ForwardForwardJacobian()

Matrix ForwardForwardJacobian	(	const CurveState &	cs,
		Size	multiplier,
		Size	offset
	)

Returns the dg[i]/df[j] jacobian between forward rates with tenor multipler and forward rates with tenor 1

Definition at line 28 of file forwardforwardmappings.cpp.

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YMatrix()

Matrix YMatrix	(	const CurveState &	cs,
		const std::vector< Spread > &	shortDisplacements,
		const std::vector< Spread > &	longDisplacements,
		Size	Multiplier,
		Size	offset
	)

Returns the Y matrix to switch base
forward rates with tenor multipler and forward rates with tenor 1

Definition at line 61 of file forwardforwardmappings.cpp.

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RestrictCurveState()

LMMCurveState RestrictCurveState	(	const CurveState &	cs,
		Size	multiplier,
		Size	offSet
	)

replaces curve state with curve state based on periodic subset of times

Definition at line 101 of file forwardforwardmappings.cpp.

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