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<title>QuantLib: DriftCalculator Class Reference</title>
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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_drift_calculator.html">DriftCalculator</a></div>
<h1>DriftCalculator Class Reference</h1><!-- doxytag: class="QuantLib::DriftCalculator" --><code>#include <ql/MarketModels/driftcalculator.hpp></code>
<p>
<a href="class_quant_lib_1_1_drift_calculator-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Drift computation for Market Models.
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<table border="0" cellpadding="0" cellspacing="0">
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_drift_calculator.html#5974bd71c6a21380ece867f440600881">DriftCalculator</a> (const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &pseudo, const std::vector< Rate > &displacements, const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &taus, Size numeraire, Size alive)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6ea063d87537369f6f26c648425a447a"></a><!-- doxytag: member="QuantLib::DriftCalculator::compute" ref="6ea063d87537369f6f26c648425a447a" args="(const std::vector< Rate > &forwards, std::vector< Real > &drifts) const" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_drift_calculator.html#6ea063d87537369f6f26c648425a447a">compute</a> (const std::vector< Rate > &forwards, std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &drifts) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Computes the drifts. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_drift_calculator.html#9168972db78f0c0e6f51f2378492701c">computePlain</a> (const std::vector< Rate > &forwards, std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &drifts) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_drift_calculator.html#b8e034d6cc0ce97939741f01c5018a13">computeReduced</a> (const std::vector< Rate > &forwards, std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &drifts) const</td></tr>
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<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="5974bd71c6a21380ece867f440600881"></a><!-- doxytag: member="QuantLib::DriftCalculator::DriftCalculator" ref="5974bd71c6a21380ece867f440600881" args="(const Matrix &pseudo, const std::vector< Rate > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive)" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_drift_calculator.html">DriftCalculator</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td>
<td class="paramname"> <em>pseudo</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const std::vector< Rate > & </td>
<td class="paramname"> <em>displacements</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td>
<td class="paramname"> <em>taus</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">Size </td>
<td class="paramname"> <em>numeraire</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">Size </td>
<td class="paramname"> <em>alive</em></td><td> </td>
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<td>)</td>
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<p>
Returns the drift <img class="formulaInl" alt="$ \mu \Delta t $" src="form_76.png">.<p>
See [1] "Rapid Computation of Drifts in a Reduced Factor <a class="el" href="class_quant_lib_1_1_libor.html">Libor</a> Market Model" Mark Joshi, Wilmott Magazine, May 2003.
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="9168972db78f0c0e6f51f2378492701c"></a><!-- doxytag: member="QuantLib::DriftCalculator::computePlain" ref="9168972db78f0c0e6f51f2378492701c" args="(const std::vector< Rate > &forwards, std::vector< Real > &drifts) const" -->
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<td class="memname">void computePlain </td>
<td>(</td>
<td class="paramtype">const std::vector< Rate > & </td>
<td class="paramname"> <em>forwards</em>, </td>
</tr>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"> <em>drifts</em></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const</td>
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<p>
Computes the drifts without factor reduction as in eqs. 2, 4 of ref. [1] (uses the covariance matrix directly).
</div>
</div><p>
<a class="anchor" name="b8e034d6cc0ce97939741f01c5018a13"></a><!-- doxytag: member="QuantLib::DriftCalculator::computeReduced" ref="b8e034d6cc0ce97939741f01c5018a13" args="(const std::vector< Rate > &forwards, std::vector< Real > &drifts) const" -->
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<td class="memname">void computeReduced </td>
<td>(</td>
<td class="paramtype">const std::vector< Rate > & </td>
<td class="paramname"> <em>forwards</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"> <em>drifts</em></td><td> </td>
</tr>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const</td>
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<p>
Computes the drifts with factor reduction as in eq. 7 of ref. [1] (uses pseudo square root of the covariance matrix).
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