QuantLib_PathwiseVegasOuterAccountingEngine man page

PathwiseVegasOuterAccountingEngine — 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

PathwiseVegasOuterAccountingEngine (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)
Use to get vegas with respect to VegaBumps.
void multiplePathValuesElementary (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths)
Use to get vegas with respect to pseudo-root-elements.

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

The man pages multiplePathValuesElementary(3) and PathwiseVegasOuterAccountingEngine(3) are aliases of QuantLib_PathwiseVegasOuterAccountingEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib