AccountingEngine Class Reference

Engine collecting cash flows along a market-model simulation. More...

#include <accountingengine.hpp>

Collaboration diagram for AccountingEngine:

Public Member Functions
	AccountingEngine (ext::shared_ptr< MarketModelEvolver > evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue)
void	multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths)

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

Private Attributes
ext::shared_ptr< MarketModelEvolver >	evolver_
Clone< MarketModelMultiProduct >	product_
Real	initialNumeraireValue_
Size	numberProducts_
std::vector< Real >	numerairesHeld_
std::vector< Size >	numberCashFlowsThisStep_
std::vector< std::vector< MarketModelMultiProduct::CashFlow > >	cashFlowsGenerated_
std::vector< MarketModelDiscounter >	discounters_

Detailed Description

Engine collecting cash flows along a market-model simulation.

Examples

MarketModels.cpp.

Definition at line 44 of file accountingengine.hpp.

Constructor & Destructor Documentation

AccountingEngine()

AccountingEngine	(	ext::shared_ptr< MarketModelEvolver >	evolver,
		const Clone< MarketModelMultiProduct > &	product,
		Real	initialNumeraireValue
	)

Definition at line 30 of file accountingengine.cpp.

Member Function Documentation

multiplePathValues()

void multiplePathValues	(	SequenceStatisticsInc &	stats,
		Size	numberOfPaths
	)

Definition at line 112 of file accountingengine.cpp.

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singlePathValues()

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

private

Definition at line 50 of file accountingengine.cpp.

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Member Data Documentation

evolver_

ext::shared_ptr<MarketModelEvolver> evolver_

private

Definition at line 54 of file accountingengine.hpp.

product_

Clone<MarketModelMultiProduct> product_

private

Definition at line 55 of file accountingengine.hpp.

initialNumeraireValue_

Real initialNumeraireValue_

private

Definition at line 57 of file accountingengine.hpp.

numberProducts_

Size numberProducts_

private

Definition at line 58 of file accountingengine.hpp.

numerairesHeld_

std::vector<Real> numerairesHeld_

private

Definition at line 61 of file accountingengine.hpp.

numberCashFlowsThisStep_

std::vector<Size> numberCashFlowsThisStep_

private

Definition at line 62 of file accountingengine.hpp.

cashFlowsGenerated_

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

private

Definition at line 64 of file accountingengine.hpp.

discounters_

std::vector<MarketModelDiscounter> discounters_

private

Definition at line 65 of file accountingengine.hpp.