ProxyGreekEngine Class Reference

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

Collaboration diagram for ProxyGreekEngine:

Public Member Functions
	ProxyGreekEngine (ext::shared_ptr< MarketModelEvolver > evolver, std::vector< std::vector< ext::shared_ptr< ConstrainedEvolver > > > constrainedEvolvers, std::vector< std::vector< std::vector< Real > > > diffWeights, std::vector< Size > startIndexOfConstraint, std::vector< Size > endIndexOfConstraint, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue)
void	multiplePathValues (SequenceStatisticsInc &stats, std::vector< std::vector< SequenceStatisticsInc > > &modifiedStats, Size numberOfPaths)
void	singlePathValues (std::vector< Real > &values, std::vector< std::vector< std::vector< Real > > > &modifiedValues)

Private Member Functions
void	singleEvolverValues (MarketModelEvolver &evolver, std::vector< Real > &values, bool storeRates=false)

Private Attributes
ext::shared_ptr< MarketModelEvolver >	originalEvolver_
std::vector< std::vector< ext::shared_ptr< ConstrainedEvolver > > >	constrainedEvolvers_
std::vector< std::vector< std::vector< Real > > >	diffWeights_
std::vector< Size >	startIndexOfConstraint_
std::vector< Size >	endIndexOfConstraint_
Clone< MarketModelMultiProduct >	product_
Real	initialNumeraireValue_
Size	numberProducts_
std::vector< Rate >	constraints_
std::valarray< bool >	constraintsActive_
std::vector< Real >	numerairesHeld_
std::vector< Size >	numberCashFlowsThisStep_
std::vector< std::vector< MarketModelMultiProduct::CashFlow > >	cashFlowsGenerated_
std::vector< MarketModelDiscounter >	discounters_

Detailed Description

Definition at line 37 of file proxygreekengine.hpp.

Constructor & Destructor Documentation

ProxyGreekEngine()

ProxyGreekEngine	(	ext::shared_ptr< MarketModelEvolver >	evolver,
		std::vector< std::vector< ext::shared_ptr< ConstrainedEvolver > > >	constrainedEvolvers,
		std::vector< std::vector< std::vector< Real > > >	diffWeights,
		std::vector< Size >	startIndexOfConstraint,
		std::vector< Size >	endIndexOfConstraint,
		const Clone< MarketModelMultiProduct > &	product,
		Real	initialNumeraireValue
	)

Definition at line 30 of file proxygreekengine.cpp.

Member Function Documentation

multiplePathValues()

void multiplePathValues	(	SequenceStatisticsInc &	stats,
		std::vector< std::vector< SequenceStatisticsInc > > &	modifiedStats,
		Size	numberOfPaths
	)

Definition at line 77 of file proxygreekengine.cpp.

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singlePathValues()

void singlePathValues	(	std::vector< Real > &	values,
		std::vector< std::vector< std::vector< Real > > > &	modifiedValues
	)

Definition at line 63 of file proxygreekengine.cpp.

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singleEvolverValues()

void singleEvolverValues ( MarketModelEvolver &  evolver, std::vector< Real > &  values, bool  storeRates = false  )

private

Definition at line 112 of file proxygreekengine.cpp.

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Member Data Documentation

originalEvolver_

ext::shared_ptr<MarketModelEvolver> originalEvolver_

private

Definition at line 58 of file proxygreekengine.hpp.

constrainedEvolvers_

std::vector<std::vector<ext::shared_ptr<ConstrainedEvolver> > > constrainedEvolvers_

private

Definition at line 60 of file proxygreekengine.hpp.

diffWeights_

std::vector<std::vector<std::vector<Real> > > diffWeights_

private

Definition at line 61 of file proxygreekengine.hpp.

startIndexOfConstraint_

std::vector<Size> startIndexOfConstraint_

private

Definition at line 62 of file proxygreekengine.hpp.

endIndexOfConstraint_

std::vector<Size> endIndexOfConstraint_

private

Definition at line 63 of file proxygreekengine.hpp.

product_

Clone<MarketModelMultiProduct> product_

private

Definition at line 64 of file proxygreekengine.hpp.

initialNumeraireValue_

Real initialNumeraireValue_

private

Definition at line 66 of file proxygreekengine.hpp.

numberProducts_

Size numberProducts_

private

Definition at line 67 of file proxygreekengine.hpp.

constraints_

std::vector<Rate> constraints_

private

Definition at line 70 of file proxygreekengine.hpp.

constraintsActive_

std::valarray<bool> constraintsActive_

private

Definition at line 71 of file proxygreekengine.hpp.

numerairesHeld_

std::vector<Real> numerairesHeld_

private

Definition at line 72 of file proxygreekengine.hpp.

numberCashFlowsThisStep_

std::vector<Size> numberCashFlowsThisStep_

private

Definition at line 73 of file proxygreekengine.hpp.

cashFlowsGenerated_

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

private

Definition at line 75 of file proxygreekengine.hpp.

discounters_

std::vector<MarketModelDiscounter> discounters_

private

Definition at line 76 of file proxygreekengine.hpp.