QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...
#include <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) |
Private Member Functions | |
Real | singlePathValues (std::vector< Real > &values) |
Private Attributes | |
ext::shared_ptr< LogNormalFwdRateEuler > | evolver_ |
Clone< MarketModelPathwiseMultiProduct > | product_ |
ext::shared_ptr< MarketModel > | pseudoRootStructure_ |
Real | initialNumeraireValue_ |
Size | numberProducts_ |
Size | numberRates_ |
Size | numberCashFlowTimes_ |
Size | numberSteps_ |
std::vector< Real > | currentForwards_ |
std::vector< Real > | lastForwards_ |
bool | doDeflation_ |
std::vector< Real > | numerairesHeld_ |
std::vector< Size > | numberCashFlowsThisStep_ |
std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > | cashFlowsGenerated_ |
std::vector< MarketModelPathwiseDiscounter > | discounters_ |
std::vector< Matrix > | V_ |
Matrix | LIBORRatios_ |
Matrix | Discounts_ |
Matrix | StepsDiscountsSquared_ |
Matrix | LIBORRates_ |
Matrix | partials_ |
std::vector< Real > | deflatorAndDerivatives_ |
std::vector< std::vector< Size > > | numberCashFlowsThisIndex_ |
std::vector< Matrix > | totalCashFlowsThisIndex_ |
std::vector< std::vector< Size > > | cashFlowIndicesThisStep_ |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.
Definition at line 44 of file pathwiseaccountingengine.hpp.
PathwiseAccountingEngine | ( | ext::shared_ptr< LogNormalFwdRateEuler > | evolver, |
const Clone< MarketModelPathwiseMultiProduct > & | product, | ||
ext::shared_ptr< MarketModel > | pseudoRootStructure, | ||
Real | initialNumeraireValue | ||
) |
Definition at line 31 of file pathwiseaccountingengine.cpp.
void multiplePathValues | ( | SequenceStatisticsInc & | stats, |
Size | numberOfPaths | ||
) |
Definition at line 312 of file pathwiseaccountingengine.cpp.
Definition at line 120 of file pathwiseaccountingengine.cpp.
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Definition at line 59 of file pathwiseaccountingengine.hpp.
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Definition at line 60 of file pathwiseaccountingengine.hpp.
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Definition at line 61 of file pathwiseaccountingengine.hpp.
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Definition at line 63 of file pathwiseaccountingengine.hpp.
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Definition at line 64 of file pathwiseaccountingengine.hpp.
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Definition at line 65 of file pathwiseaccountingengine.hpp.
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Definition at line 66 of file pathwiseaccountingengine.hpp.
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Definition at line 67 of file pathwiseaccountingengine.hpp.
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Definition at line 69 of file pathwiseaccountingengine.hpp.
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Definition at line 69 of file pathwiseaccountingengine.hpp.
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Definition at line 71 of file pathwiseaccountingengine.hpp.
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Definition at line 75 of file pathwiseaccountingengine.hpp.
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Definition at line 76 of file pathwiseaccountingengine.hpp.
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Definition at line 78 of file pathwiseaccountingengine.hpp.
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Definition at line 79 of file pathwiseaccountingengine.hpp.
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Definition at line 81 of file pathwiseaccountingengine.hpp.
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Definition at line 85 of file pathwiseaccountingengine.hpp.
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Definition at line 86 of file pathwiseaccountingengine.hpp.
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Definition at line 88 of file pathwiseaccountingengine.hpp.
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Definition at line 90 of file pathwiseaccountingengine.hpp.
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Definition at line 91 of file pathwiseaccountingengine.hpp.
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Definition at line 93 of file pathwiseaccountingengine.hpp.
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Definition at line 95 of file pathwiseaccountingengine.hpp.
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Definition at line 96 of file pathwiseaccountingengine.hpp.
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Definition at line 98 of file pathwiseaccountingengine.hpp.