forwardforwardmappings.hpp File Reference

Utility functions for mapping between forward rates of varying tenor. More...

#include <ql/math/matrix.hpp>
Include dependency graph for forwardforwardmappings.hpp:

Namespaces

 QuantLib
 

Functions

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

Detailed Description

Utility functions for mapping between forward rates of varying tenor.