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. |