lmmdriftcalculator.hpp

Langue: en

Autres versions - même langue

Version: 376482 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp -

Drift computation for Libor market model.

SYNOPSIS


#include <ql/math/matrix.hpp>
#include <vector>

Classes


class LMMDriftCalculator
Drift computation for log-normal Libor market models.

Detailed Description

Drift computation for Libor market model.

Author

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