PathwiseVegasOuterAccountingEngine Class Reference

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

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

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

Examples

MarketModels.cpp.