PathwiseAccountingEngine Class Reference

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...

#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>

Public Member Functions
	PathwiseAccountingEngine (ext::shared_ptr< LogNormalFwdRateEuler > evolver, const Clone< MarketModelPathwiseMultiProduct > &product, ext::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.