PathwiseAccountingEngine Class Reference

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)

Detailed Description

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