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lmmnormaldriftcalculator.hpp
Langue: en
Version: 154425 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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
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