Class SMMDriftCalculator

Drift computation for coterminal swap market models

Returns the drift $ \mu \Delta t $. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic Market Models.

Hierarchy

SMMDriftCalculator

Index

Constructors

constructor

Properties

Methods

compute

Constructors

constructor

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

- Defined in ql/models/marketmodels/driftcomputation/smmdriftcalculator.ts:18
Parameters
- pseudo: Matrix
- displacements: Spread[]
- taus: Time[]
- numeraire: Size
- alive: Size
Returns SMMDriftCalculator

Properties

_C

Private _alive

_alive: Size

Private _displacements

_displacements: Spread[]

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraire

_numeraire: Size

Private _oneOverTaus

_oneOverTaus: Real[]

Private _pseudo

_pseudo: Matrix

_tmp

_tmp: Real[]

Private _wkaj

_wkaj: Matrix

Private _wkajshifted

_wkajshifted: Matrix

Private _wkpj

_wkpj: Matrix

Methods

compute

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

- Defined in ql/models/marketmodels/driftcomputation/smmdriftcalculator.ts:72
Parameters
- cs: CoterminalSwapCurveState
- drifts: Real[]
Returns void