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QuantLib_PathwiseVegasOuterAccountingEngine
Langue: en
Version: 378665 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::PathwiseVegasOuterAccountingEngine -Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.
SYNOPSIS
#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>
Public Member Functions
PathwiseVegasOuterAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue)
void multiplePathValues (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths)
Use to get vegas with respect to VegaBumps.
void multiplePathValuesElementary (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths)
Use to get vegas with respect to pseudo-root-elements.
Detailed Description
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.
Author
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