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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.

Hierarchy

  • CMSMMDriftCalculator

Index

Constructors

constructor

Properties

_C

_C: Matrix

Private _PjPnWk

_PjPnWk: Matrix

Private _alive

_alive: Size

Private _displacements

_displacements: Spread[]

Private _downs

_downs: Size[]

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraire

_numeraire: Size

Private _oneOverTaus

_oneOverTaus: Real[]

Private _pseudo

_pseudo: Matrix

Private _spanningFwds

_spanningFwds: Size

_tmp

_tmp: Real[]

Private _ups

_ups: Size[]

Private _wkaj

_wkaj: Matrix

Private _wkajN

_wkajN: Matrix

Methods

compute

  • Parameters

    Returns void