functions to construct and use Driftcalculators objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the Driftcalculators part there are several constructors and member functions available

Select[Category[Driftcalculators],QLConstructor[#]&]

Select[Category[Driftcalculators],QLMember[#]&]

Constructors

LMMDriftCalculator

obj=LMMDriftCalculator[PseudoSquareRoot,Displacements,Taus,Numeraire,Alive]

LMMNormalDriftCalculator

obj=LMMNormalDriftCalculator[Pseudo_square_root,Taus,Numeraire,Alive]

CMSMMDriftCalculator

obj=CMSMMDriftCalculator[Pseudo_square_root,Displacements,Taus,Numeraire,Alive,SpanningFwds]

SMMDriftCalculator

obj=SMMDriftCalculator[Pseudo_square_root,Displacements,Taus,Numeraire,Alive]

Member function

LMMDriftCalculatorComputePlain

LMMDriftCalculatorComputePlain[objCurveState]

LMMDriftCalculatorComputeReduced

LMMDriftCalculatorComputeReduced[objCurveState]

LMMDriftCalculatorCompute

LMMDriftCalculatorCompute[objCurveState]

LMMNormalDriftCalculatorComputePlain

LMMNormalDriftCalculatorComputePlain[objCurveState]

LMMNormalDriftCalculatorComputeReduced

LMMNormalDriftCalculatorComputeReduced[objCurveState]

LMMNormalDriftCalculatorCompute

LMMNormalDriftCalculatorCompute[objCurveState]

CMSMMDriftCalculatorCompute

CMSMMDriftCalculatorCompute[objCurveState]

SMMDriftCalculatorCompute

SMMDriftCalculatorCompute[objCurveState]

Created with Wolfram Mathematica 7.0