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forwardforwardmappings.hpp File Reference

Detailed Description

Utility functions for mapping between forward rates of varying tenor.

Definition in file forwardforwardmappings.hpp.

#include <ql/math/matrix.hpp>

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namespace  QuantLib
namespace  QuantLib::ForwardForwardMappings


Disposable< Matrix > QuantLib::ForwardForwardMappings::ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset)
LMMCurveState QuantLib::ForwardForwardMappings::RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet)
Disposable< Matrix > QuantLib::ForwardForwardMappings::YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset)

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