1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2007 Mark Joshi 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file forwardforwardmappings.hpp 21 \brief Utility functions for mapping between forward rates of varying tenor 22 */ 23 24 #ifndef quantlib_forward_forward_mappings_hpp 25 #define quantlib_forward_forward_mappings_hpp 26 27 #include <ql/math/matrix.hpp> 28 29 namespace QuantLib { 30 31 class CurveState; 32 class LMMCurveState; 33 34 namespace ForwardForwardMappings 35 { 36 /*! Returns the dg[i]/df[j] jacobian between 37 forward rates with tenor multipler and forward rates with tenor 1*/ 38 Disposable<Matrix> 39 ForwardForwardJacobian(const CurveState& cs, 40 Size multiplier, 41 Size offset); 42 43 /*! Returns the Y matrix to switch base 44 forward rates with tenor multipler and forward rates with tenor 1*/ 45 46 Disposable<Matrix> 47 YMatrix(const CurveState& cs, 48 const std::vector<Spread>& shortDisplacements, 49 const std::vector<Spread>& longDisplacements, 50 Size Multiplier, 51 Size offset 52 ); 53 54 /*! 55 replaces curve state with curve state based on periodic subset of times 56 57 */ 58 LMMCurveState 59 RestrictCurveState(const CurveState& cs, 60 Size multiplier, 61 Size offSet 62 ); 63 64 } 65 66 } 67 68 #endif 69