QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
#include <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. More... | |
void | multiplePathValuesElementary (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths) |
Use to get vegas with respect to pseudo-root-elements. More... | |
Private Member Functions | |
Real | singlePathValues (std::vector< Real > &values) |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.
Definition at line 196 of file pathwiseaccountingengine.hpp.
PathwiseVegasOuterAccountingEngine | ( | ext::shared_ptr< LogNormalFwdRateEuler > | evolver, |
const Clone< MarketModelPathwiseMultiProduct > & | product, | ||
ext::shared_ptr< MarketModel > | pseudoRootStructure, | ||
const std::vector< std::vector< Matrix > > & | VegaBumps, | ||
Real | initialNumeraireValue | ||
) |
Definition at line 713 of file pathwiseaccountingengine.cpp.
void multiplePathValues | ( | std::vector< Real > & | means, |
std::vector< Real > & | errors, | ||
Size | numberOfPaths | ||
) |
Use to get vegas with respect to VegaBumps.
Definition at line 1146 of file pathwiseaccountingengine.cpp.
void multiplePathValuesElementary | ( | std::vector< Real > & | means, |
std::vector< Real > & | errors, | ||
Size | numberOfPaths | ||
) |
Use to get vegas with respect to pseudo-root-elements.
Definition at line 1111 of file pathwiseaccountingengine.cpp.
Definition at line 861 of file pathwiseaccountingengine.cpp.
|
private |
Definition at line 220 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 221 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 222 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 223 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 224 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 226 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 227 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 228 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 229 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 230 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 231 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 232 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 233 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 235 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 238 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 242 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 242 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 243 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 244 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 246 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 247 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 249 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 251 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 252 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 254 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 255 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 257 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 258 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 260 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 261 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 263 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 264 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 266 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 267 of file pathwiseaccountingengine.hpp.
|
private |
Definition at line 269 of file pathwiseaccountingengine.hpp.