Driftcalculators

Overview

functions to construct and use Driftcalculators objects.

Function List

qlCMSMMDriftCalculator ()
qlCMSMMDriftCalculatorCompute ()
qlLMMDriftCalculator ()
qlLMMDriftCalculatorCompute ()
qlLMMDriftCalculatorComputePlain ()
qlLMMDriftCalculatorComputeReduced ()
qlLMMNormalDriftCalculator ()
qlLMMNormalDriftCalculatorCompute ()
qlLMMNormalDriftCalculatorComputePlain ()
qlLMMNormalDriftCalculatorComputeReduced ()
qlSMMDriftCalculator ()
qlSMMDriftCalculatorCompute ()

Function Documentation

qlCMSMMDriftCalculator

string returnValue
 
qlCMSMMDriftCalculator(
        string ObjectId
        vector<vector<double> > Pseudo_square_root
        vector<double> Displacements
        vector<double> Taus
        long Numeraire
        long Alive
        long SpanningFwds
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CMSMMDriftCalculator and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Pseudo_square_root	Pseudo square root of the covariance matrix.
Displacements	displacements.
Taus	taus.
Numeraire	numeraire.
Alive	index of the first rates still alive.
SpanningFwds	number of forwards to be spanned.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCMSMMDriftCalculatorCompute

vector<double> returnValue
 
qlCMSMMDriftCalculatorCompute(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Full factor drift computation using the CMSMMDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CMSMMDriftCalculator object
CurveState	CMSwapCurveState object ID.
Trigger	dependency tracking trigger

qlLMMDriftCalculator

string returnValue
 
qlLMMDriftCalculator(
        string ObjectId
        vector<vector<double> > Pseudo_square_root
        vector<double> Displacements
        vector<double> Taus
        long Numeraire
        long Alive
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LMMDriftCalculator and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Pseudo_square_root	Pseudo square root of the covariance matrix.
Displacements	displacements.
Taus	taus.
Numeraire	numeraire.
Alive	index of the first rates still alive.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLMMDriftCalculatorCompute

vector<double> returnValue
 
qlLMMDriftCalculatorCompute(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Reduced factor (Joshi algorithm) drift computation using the LMMDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlLMMDriftCalculatorComputePlain

vector<double> returnValue
 
qlLMMDriftCalculatorComputePlain(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Full factor drift computation using the LMMDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlLMMDriftCalculatorComputeReduced

vector<double> returnValue
 
qlLMMDriftCalculatorComputeReduced(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Reduced factor (Joshi algorithm) drift computation using the LMMDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlLMMNormalDriftCalculator

string returnValue
 
qlLMMNormalDriftCalculator(
        string ObjectId
        vector<vector<double> > Pseudo_square_root
        vector<double> Taus
        long Numeraire
        long Alive
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LMMNormalDriftCalculator and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Pseudo_square_root	Pseudo square root of the covariance matrix.
Taus	taus.
Numeraire	numeraire.
Alive	index of the first rates still alive.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLMMNormalDriftCalculatorCompute

vector<double> returnValue
 
qlLMMNormalDriftCalculatorCompute(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Reduced factor (Joshi algorithm) drift computation using the LMMNormalDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMNormalDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlLMMNormalDriftCalculatorComputePlain

vector<double> returnValue
 
qlLMMNormalDriftCalculatorComputePlain(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Full factor drift computation using the LMMNormalDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMNormalDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlLMMNormalDriftCalculatorComputeReduced

vector<double> returnValue
 
qlLMMNormalDriftCalculatorComputeReduced(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Reduced factor (Joshi algorithm) drift computation using the LMMNormalDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::LMMNormalDriftCalculator object
CurveState	LMMCurveState object ID.
Trigger	dependency tracking trigger

qlSMMDriftCalculator

string returnValue
 
qlSMMDriftCalculator(
        string ObjectId
        vector<vector<double> > Pseudo_square_root
        vector<double> Displacements
        vector<double> Taus
        long Numeraire
        long Alive
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SMMDriftCalculator and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Pseudo_square_root	Pseudo square root of the covariance matrix.
Displacements	displacements.
Taus	taus.
Numeraire	numeraire.
Alive	index of the first rates still alive.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSMMDriftCalculatorCompute

vector<double> returnValue
 
qlSMMDriftCalculatorCompute(
        string ObjectId
        string CurveState
        any Trigger)

Description:

Full factor drift computation using the SMMDriftCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SMMDriftCalculator object
CurveState	CoterminalSwapCurveState object ID.
Trigger	dependency tracking trigger