UpperBoundEngine Class Reference

Market-model engine for upper-bound estimation. More...

#include <ql/models/marketmodels/callability/upperboundengine.hpp>

Public Member Functions
	UpperBoundEngine (ext::shared_ptr< MarketModelEvolver > evolver, std::vector< ext::shared_ptr< MarketModelEvolver > > innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue)
void	multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths)
std::pair< Real, Real >	singlePathValue (Size innerPaths)

Detailed Description

Market-model engine for upper-bound estimation.

Precondition

product and hedge must have the same rate times and exercise times

Examples

MarketModels.cpp.