QuantLibAddin::LMMDriftCalculator Class Reference

#include <qlo/driftcalculators.hpp>

Inheritance diagram for QuantLibAddin::LMMDriftCalculator:

Collaboration diagram for QuantLibAddin::LMMDriftCalculator:

Public Member Functions
	LMMDriftCalculator (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, bool permanent)
std::vector< QuantLib::Real >	compute (const QuantLib::LMMCurveState &cs) const
std::vector< QuantLib::Real >	computePlain (const QuantLib::LMMCurveState &cs) const
std::vector< QuantLib::Real >	computeReduced (const QuantLib::LMMCurveState &cs) const

Constructor & Destructor Documentation

LMMDriftCalculator()

QuantLibAddin::LMMDriftCalculator::LMMDriftCalculator	(	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,
		bool	permanent
	)

Member Function Documentation

compute()

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

(

const QuantLib::LMMCurveState &

cs

)

const

computePlain()

std::vector<QuantLib::Real> QuantLibAddin::LMMDriftCalculator::computePlain

(

const QuantLib::LMMCurveState &

cs

)

const

computeReduced()

std::vector<QuantLib::Real> QuantLibAddin::LMMDriftCalculator::computeReduced

(

const QuantLib::LMMCurveState &

cs

)

const

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

• driftcalculators.hpp