QuantLib_UpperBoundEngine man page

UpperBoundEngine — Market-model engine for upper-bound estimation.  

Synopsis

#include <ql/models/marketmodels/callability/upperboundengine.hpp>

Public Member Functions

UpperBoundEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const std::vector< boost::shared_ptr< MarketModelEvolver > > &innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue)
void multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths)
std::pair< Real, Real > singlePathValue (Size innerPaths)

Detailed Description

Market-model engine for upper-bound estimation.

Precondition:

product and hedge must have the same rate times and exercise times

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages singlePathValue(3) and UpperBoundEngine(3) are aliases of QuantLib_UpperBoundEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib