QuantLibAddin::CMSMMDriftCalculator Class Reference

#include <qlo/driftcalculators.hpp>

Inheritance diagram for QuantLibAddin::CMSMMDriftCalculator:

Collaboration diagram for QuantLibAddin::CMSMMDriftCalculator:

Public Member Functions
	CMSMMDriftCalculator (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Matrix &pseudo, const std::vector< QuantLib::Rate > &displacements, const std::vector< QuantLib::Time > &taus, QuantLib::Size numeraire, QuantLib::Size alive, QuantLib::Size spanningFwds, bool permanent)
std::vector< QuantLib::Real >	compute (const QuantLib::CMSwapCurveState &cs) const

Constructor & Destructor Documentation

CMSMMDriftCalculator()

QuantLibAddin::CMSMMDriftCalculator::CMSMMDriftCalculator	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		const QuantLib::Matrix &	pseudo,
		const std::vector< QuantLib::Rate > &	displacements,
		const std::vector< QuantLib::Time > &	taus,
		QuantLib::Size	numeraire,
		QuantLib::Size	alive,
		QuantLib::Size	spanningFwds,
		bool	permanent
	)

Member Function Documentation

compute()

std::vector<QuantLib::Real> QuantLibAddin::CMSMMDriftCalculator::compute

(

const QuantLib::CMSwapCurveState &

cs

)

const

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The documentation for this class was generated from the following file:

• driftcalculators.hpp