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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_upper_bound_engine.html">UpperBoundEngine</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">UpperBoundEngine Class Reference</div> </div>
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<p>Market-model engine for upper-bound estimation.
<a href="class_quant_lib_1_1_upper_bound_engine.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/callability/upperboundengine.hpp></code></p>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>UpperBoundEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_market_model_evolver.html">MarketModelEvolver</a> > &evolver, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_market_model_evolver.html">MarketModelEvolver</a> > > &innerEvolvers, const <a class="el" href="class_quant_lib_1_1_market_model_multi_product.html">MarketModelMultiProduct</a> &underlying, const MarketModelExerciseValue &rebate, const <a class="el" href="class_quant_lib_1_1_market_model_multi_product.html">MarketModelMultiProduct</a> &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> > &hedgeStrategy, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> initialNumeraireValue)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>multiplePathValues</b> (<a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> &stats, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> outerPaths, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> innerPaths)</td></tr>
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std::pair< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>singlePathValue</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> innerPaths)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Market-model engine for upper-bound estimation. </p>
<dl class="section pre"><dt>Precondition</dt><dd>product and hedge must have the same rate times and exercise times </dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_market_models_8cpp-example.html#_a23">MarketModels.cpp</a>.</dd>
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