QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
PathwiseVegasOuterAccountingEngine Class Reference

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

#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.