lmmnormaldriftcalculator.hpp

Langue: en

Autres versions - même langue

Version: 374762 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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

Drift computation for normal Libor market model.

SYNOPSIS


#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <vector>

Classes


class LMMNormalDriftCalculator
Drift computation for normal Libor market models.

Detailed Description

Drift computation for normal Libor market model.

Author

Generated automatically by Doxygen for QuantLib from the source code.