AmcCalculator Class Reference

#include <qle/pricingengines/amccalculator.hpp>

Inheritance diagram for AmcCalculator:

Collaboration diagram for AmcCalculator:

Public Member Functions
virtual	~AmcCalculator ()
virtual QuantLib::Currency	npvCurrency ()=0
virtual std::vector< QuantExt::RandomVariable >	simulatePath (const std::vector< QuantLib::Real > &pathTimes, std::vector< std::vector< QuantExt::RandomVariable > > &paths, const std::vector< size_t > &relevantPathIndex, const std::vector< size_t > &relevantTimeIndex)=0

Detailed Description

amc interface

Definition at line 35 of file amccalculator.hpp.

Constructor & Destructor Documentation

~AmcCalculator()

virtual ~AmcCalculator ( )

virtual

Definition at line 37 of file amccalculator.hpp.

{}

Member Function Documentation

npvCurrency()

virtual QuantLib::Currency npvCurrency ( )

pure virtual

currency of simulated npvs

Implemented in McMultiLegBaseEngine::MultiLegBaseAmcCalculator.

simulatePath()

virtual std::vector< QuantExt::RandomVariable > simulatePath ( const std::vector< QuantLib::Real > &  pathTimes, std::vector< std::vector< QuantExt::RandomVariable > > &  paths, const std::vector< size_t > &  relevantPathIndex, const std::vector< size_t > &  relevantTimeIndex  )

pure virtual

• simulate paths on given times and return simulated npvs for all paths
• relevantPathIndex gives the relevant entries in the paths that should be simulated in the end
• relevantTimeIndex gives the corrosponding time indexes for a sticky closeOut run
• if stickyCloseOutRun is true, the simulation times should be taken relevantTimeIndexes

Implemented in McMultiLegBaseEngine::MultiLegBaseAmcCalculator.