UpperBoundEngine Class Reference

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

#include <upperboundengine.hpp>

Collaboration diagram for UpperBoundEngine:

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)

Private Member Functions
Real	collectCashFlows (Size currentStep, Real principalInNumerairePortfolio, Size beginProduct, Size endProduct) const

Private Attributes
ext::shared_ptr< MarketModelEvolver >	evolver_
std::vector< ext::shared_ptr< MarketModelEvolver > >	innerEvolvers_
MultiProductComposite	composite_
Real	initialNumeraireValue_
Size	underlyingSize_
Size	rebateSize_
Size	hedgeSize_
Size	hedgeRebateSize_
Size	underlyingOffset_
Size	rebateOffset_
Size	hedgeOffset_
Size	hedgeRebateOffset_
Size	numberOfProducts_
Size	numberOfSteps_
std::valarray< bool >	isExerciseTime_
std::vector< Size >	numberCashFlowsThisStep_
std::vector< std::vector< MarketModelMultiProduct::CashFlow > >	cashFlowsGenerated_
std::vector< MarketModelDiscounter >	discounters_

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.

Definition at line 43 of file upperboundengine.hpp.

Constructor & Destructor Documentation

UpperBoundEngine()

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
	)

Definition at line 108 of file upperboundengine.cpp.

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Member Function Documentation

multiplePathValues()

void multiplePathValues	(	Statistics &	stats,
		Size	outerPaths,
		Size	innerPaths
	)

Definition at line 165 of file upperboundengine.cpp.

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singlePathValue()

std::pair< Real, Real > singlePathValue

(

Size

innerPaths

)

Definition at line 175 of file upperboundengine.cpp.

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collectCashFlows()

Real collectCashFlows ( Size  currentStep, Real  principalInNumerairePortfolio, Size  beginProduct, Size  endProduct  ) const

private

Definition at line 319 of file upperboundengine.cpp.

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Member Data Documentation

evolver_

ext::shared_ptr<MarketModelEvolver> evolver_

private

Definition at line 63 of file upperboundengine.hpp.

innerEvolvers_

std::vector<ext::shared_ptr<MarketModelEvolver> > innerEvolvers_

private

Definition at line 64 of file upperboundengine.hpp.

composite_

MultiProductComposite composite_

private

Definition at line 65 of file upperboundengine.hpp.

initialNumeraireValue_

Real initialNumeraireValue_

private

Definition at line 67 of file upperboundengine.hpp.

underlyingSize_

Size underlyingSize_

private

Definition at line 68 of file upperboundengine.hpp.

rebateSize_

Size rebateSize_

private

Definition at line 68 of file upperboundengine.hpp.

hedgeSize_

Size hedgeSize_

private

Definition at line 68 of file upperboundengine.hpp.

hedgeRebateSize_

Size hedgeRebateSize_

private

Definition at line 68 of file upperboundengine.hpp.

underlyingOffset_

Size underlyingOffset_

private

Definition at line 69 of file upperboundengine.hpp.

rebateOffset_

Size rebateOffset_

private

Definition at line 69 of file upperboundengine.hpp.

hedgeOffset_

Size hedgeOffset_

private

Definition at line 69 of file upperboundengine.hpp.

hedgeRebateOffset_

Size hedgeRebateOffset_

private

Definition at line 69 of file upperboundengine.hpp.

numberOfProducts_

Size numberOfProducts_

private

Definition at line 70 of file upperboundengine.hpp.

numberOfSteps_

Size numberOfSteps_

private

Definition at line 71 of file upperboundengine.hpp.

isExerciseTime_

std::valarray<bool> isExerciseTime_

private

Definition at line 72 of file upperboundengine.hpp.

numberCashFlowsThisStep_

std::vector<Size> numberCashFlowsThisStep_

private

Definition at line 75 of file upperboundengine.hpp.

cashFlowsGenerated_

std::vector<std::vector<MarketModelMultiProduct::CashFlow> > cashFlowsGenerated_

private

Definition at line 77 of file upperboundengine.hpp.

discounters_

std::vector<MarketModelDiscounter> discounters_

private

Definition at line 78 of file upperboundengine.hpp.