Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...
#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>
Public Member Functions | |
| PathwiseAccountingEngine (const ext::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const ext::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue) | |
| void | multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.