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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Mark Joshi
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file forwardforwardmappings.hpp
\brief Utility functions for mapping between forward rates of varying tenor
*/
#ifndef quantlib_forward_forward_mappings_hpp
#define quantlib_forward_forward_mappings_hpp
#include <ql/math/matrix.hpp>
namespace QuantLib {
class CurveState;
class LMMCurveState;
namespace ForwardForwardMappings
{
/*! Returns the dg[i]/df[j] jacobian between
forward rates with tenor multipler and forward rates with tenor 1*/
Matrix ForwardForwardJacobian(const CurveState& cs,
Size multiplier,
Size offset);
/*! Returns the Y matrix to switch base
forward rates with tenor multipler and forward rates with tenor 1*/
Matrix YMatrix(const CurveState& cs,
const std::vector<Spread>& shortDisplacements,
const std::vector<Spread>& longDisplacements,
Size Multiplier,
Size offset);
/*!
replaces curve state with curve state based on periodic subset of times
*/
LMMCurveState RestrictCurveState(const CurveState& cs,
Size multiplier,
Size offSet);
}
}
#endif
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