PathwiseAccountingEngine (3) - Linux Manuals

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

NAME

QuantLib::PathwiseAccountingEngine - Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.

SYNOPSIS

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

Public Member Functions

PathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue)

void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths)

Detailed Description

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

Author

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