QuantLib_PathwiseAccountingEngine

Langue: en

Autres versions - même langue

Version: 383353 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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