PathwiseVegasAccountingEngine Class Reference

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...

#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>

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Public Member Functions
	PathwiseVegasAccountingEngine (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)

Private Member Functions
Real	singlePathValues (std::vector< Real > &values)

Private Attributes
ext::shared_ptr< LogNormalFwdRateEuler >	evolver_
Clone< MarketModelPathwiseMultiProduct >	product_
ext::shared_ptr< MarketModel >	pseudoRootStructure_
std::vector< Size >	numeraires_
Real	initialNumeraireValue_
Size	numberProducts_
Size	numberRates_
Size	numberCashFlowTimes_
Size	numberSteps_
Size	numberBumps_
std::vector< RatePseudoRootJacobian >	jacobianComputers_
bool	doDeflation_
std::vector< Real >	currentForwards_
std::vector< Real >	lastForwards_
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_
std::vector< Real >	stepsDiscounts_
Matrix	LIBORRates_
Matrix	partials_
Matrix	vegasThisPath_
std::vector< Matrix >	jacobiansThisPaths_
std::vector< Real >	deflatorAndDerivatives_
std::vector< Real >	fullDerivatives_
std::vector< std::vector< Size > >	numberCashFlowsThisIndex_
std::vector< Matrix >	totalCashFlowsThisIndex_
std::vector< std::vector< Size > >	cashFlowIndicesThisStep_

Detailed Description

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.

Definition at line 115 of file pathwiseaccountingengine.hpp.

Constructor & Destructor Documentation

PathwiseVegasAccountingEngine()

PathwiseVegasAccountingEngine	(	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 327 of file pathwiseaccountingengine.cpp.

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Member Function Documentation

multiplePathValues()

void multiplePathValues	(	std::vector< Real > &	means,
		std::vector< Real > &	errors,
		Size	numberOfPaths
	)

Definition at line 677 of file pathwiseaccountingengine.cpp.

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singlePathValues()

Real singlePathValues ( std::vector< Real > &  values )

private

Definition at line 444 of file pathwiseaccountingengine.cpp.

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Member Data Documentation

evolver_

ext::shared_ptr<LogNormalFwdRateEuler> evolver_

private

Definition at line 132 of file pathwiseaccountingengine.hpp.

product_

Clone<MarketModelPathwiseMultiProduct> product_

private

Definition at line 133 of file pathwiseaccountingengine.hpp.

pseudoRootStructure_

ext::shared_ptr<MarketModel> pseudoRootStructure_

private

Definition at line 134 of file pathwiseaccountingengine.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 135 of file pathwiseaccountingengine.hpp.

initialNumeraireValue_

Real initialNumeraireValue_

private

Definition at line 137 of file pathwiseaccountingengine.hpp.

numberProducts_

Size numberProducts_

private

Definition at line 138 of file pathwiseaccountingengine.hpp.

numberRates_

Size numberRates_

private

Definition at line 139 of file pathwiseaccountingengine.hpp.

numberCashFlowTimes_

Size numberCashFlowTimes_

private

Definition at line 140 of file pathwiseaccountingengine.hpp.

numberSteps_

Size numberSteps_

private

Definition at line 141 of file pathwiseaccountingengine.hpp.

numberBumps_

Size numberBumps_

private

Definition at line 142 of file pathwiseaccountingengine.hpp.

jacobianComputers_

std::vector<RatePseudoRootJacobian> jacobianComputers_

private

Definition at line 144 of file pathwiseaccountingengine.hpp.

doDeflation_

bool doDeflation_

private

Definition at line 147 of file pathwiseaccountingengine.hpp.

currentForwards_

std::vector<Real> currentForwards_

private

Definition at line 151 of file pathwiseaccountingengine.hpp.

lastForwards_

std::vector<Real> lastForwards_

private

Definition at line 151 of file pathwiseaccountingengine.hpp.

numerairesHeld_

std::vector<Real> numerairesHeld_

private

Definition at line 152 of file pathwiseaccountingengine.hpp.

numberCashFlowsThisStep_

std::vector<Size> numberCashFlowsThisStep_

private

Definition at line 153 of file pathwiseaccountingengine.hpp.

cashFlowsGenerated_

std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> > cashFlowsGenerated_

private

Definition at line 155 of file pathwiseaccountingengine.hpp.

discounters_

std::vector<MarketModelPathwiseDiscounter> discounters_

private

Definition at line 156 of file pathwiseaccountingengine.hpp.

V_

std::vector<Matrix> V_

private

Definition at line 158 of file pathwiseaccountingengine.hpp.

LIBORRatios_

Matrix LIBORRatios_

private

Definition at line 160 of file pathwiseaccountingengine.hpp.

Discounts_

Matrix Discounts_

private

Definition at line 161 of file pathwiseaccountingengine.hpp.

StepsDiscountsSquared_

Matrix StepsDiscountsSquared_

private

Definition at line 163 of file pathwiseaccountingengine.hpp.

stepsDiscounts_

std::vector<Real> stepsDiscounts_

private

Definition at line 164 of file pathwiseaccountingengine.hpp.

LIBORRates_

Matrix LIBORRates_

private

Definition at line 166 of file pathwiseaccountingengine.hpp.

partials_

Matrix partials_

private

Definition at line 167 of file pathwiseaccountingengine.hpp.

vegasThisPath_

Matrix vegasThisPath_

private

Definition at line 169 of file pathwiseaccountingengine.hpp.

jacobiansThisPaths_

std::vector<Matrix> jacobiansThisPaths_

private

Definition at line 170 of file pathwiseaccountingengine.hpp.

deflatorAndDerivatives_

std::vector<Real> deflatorAndDerivatives_

private

Definition at line 172 of file pathwiseaccountingengine.hpp.

fullDerivatives_

std::vector<Real> fullDerivatives_

private

Definition at line 173 of file pathwiseaccountingengine.hpp.

numberCashFlowsThisIndex_

std::vector<std::vector<Size> > numberCashFlowsThisIndex_

private

Definition at line 175 of file pathwiseaccountingengine.hpp.

totalCashFlowsThisIndex_

std::vector<Matrix> totalCashFlowsThisIndex_

private

Definition at line 176 of file pathwiseaccountingengine.hpp.

cashFlowIndicesThisStep_

std::vector<std::vector<Size> > cashFlowIndicesThisStep_

private

Definition at line 178 of file pathwiseaccountingengine.hpp.