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QuantLib_PathwiseAccountingEngine
Langue: en
Version: 383353 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::PathwiseAccountingEngine -Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.
SYNOPSIS
#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>
Public Member Functions
PathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue)
void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths)
Detailed Description
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.
Author
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