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 and vegas. More...
#include <pathwiseaccountingengine.hpp>
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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) |
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.
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.
void multiplePathValues | ( | std::vector< Real > & | means, |
std::vector< Real > & | errors, | ||
Size | numberOfPaths | ||
) |
Definition at line 677 of file pathwiseaccountingengine.cpp.
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