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Class LMMDriftCalculator

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.

Hierarchy

  • LMMDriftCalculator

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _C

_C: Matrix

Private _alive

_alive: Size

Private _displacements

_displacements: Spread[]

Private _downs

_downs: Size[]

Private _e

_e: Matrix

Private _isFullFactor

_isFullFactor: boolean

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraire

_numeraire: Size

Private _oneOverTaus

_oneOverTaus: Real[]

Private _pseudo

_pseudo: Matrix

Private _tmp

_tmp: Real[]

Private _ups

_ups: Size[]

Methods

compute1

  • Parameters

    Returns void

compute2

  • compute2(fwds: Rate[], drifts: Real[]): void

  • Parameters

    Returns void

computePlain1

  • Parameters

    Returns void

computePlain2

  • computePlain2(forwards: Rate[], drifts: Real[]): void

  • Parameters

    Returns void

computeReduced1

  • Parameters

    Returns void

computeReduced2

  • computeReduced2(forwards: Rate[], drifts: Real[]): void

  • Parameters

    Returns void