Class CMSMMDriftCalculator

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

Methods

compute

Constructors

constructor

new CMSMMDriftCalculator(pseudo: Matrix, displacements: Spread[], taus: Time[], numeraire: Size, alive: Size, spanningFwds: Size): CMSMMDriftCalculator

- Defined in ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.ts:19
Parameters
- pseudo: Matrix
- displacements: Spread[]
- taus: Time[]
- numeraire: Size
- alive: Size
- spanningFwds: Size
Returns CMSMMDriftCalculator

Properties

_C

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

compute(cs: CMSwapCurveState, drifts: Real[]): void

- Defined in ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.ts:78
Parameters
- cs: CMSwapCurveState
- drifts: Real[]
Returns void