QuantLib: LMMDriftCalculator Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
LMMDriftCalculator Class Reference

Drift computation for log-normal Libor market models. More...

`#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>`

## Public Member Functions
| LMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)
void | compute (const LMMCurveState &cs, std::vector< Real > &drifts) const
| Computes the drifts.
void | compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void | computePlain (const LMMCurveState &cs, std::vector< Real > &drifts) const
void | computePlain (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const
void | computeReduced (const LMMCurveState &cs, std::vector< Real > &drifts) const
void | computeReduced (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const

## Detailed Description

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.

## Member Function Documentation

## ◆ computePlain()

void computePlain | ( | const LMMCurveState & | cs,
|  | std::vector< Real > & | drifts
| ) |  | const

Computes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).

## ◆ computeReduced()

void computeReduced | ( | const LMMCurveState & | cs,
|  | std::vector< Real > & | drifts
| ) |  | const

Computes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).