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Sourcecode: quantlib version File versions

smmdriftcalculator.hpp File Reference


Detailed Description

Drift computation for coterminal-swap market model.

Definition in file smmdriftcalculator.hpp.

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

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::SMMDriftCalculator
 Drift computation for coterminal swap market models. More...


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