QuantLib: SMMDriftCalculator Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions | List of all members
SMMDriftCalculator Class Reference

Drift computation for coterminal swap market models. More...

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

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

## Detailed Description

Drift computation for coterminal swap market models.

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