QuantLib_PathwiseVegasAccountingEngine man page

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

Synopsis

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

Public Member Functions

PathwiseVegasAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::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)

Detailed Description

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

Author

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Referenced By

PathwiseVegasAccountingEngine(3) is an alias of QuantLib_PathwiseVegasAccountingEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib