QuantLib_PathwiseVegasOuterAccountingEngine

Langue: en

Version: 378665 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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