QuantLib_UpperBoundEngine (3) - Linux Manuals

QuantLib_UpperBoundEngine: Market-model engine for upper-bound estimation.

Command to display QuantLib_UpperBoundEngine manual in Linux: $ man 3 QuantLib_UpperBoundEngine

NAME

QuantLib::UpperBoundEngine - Market-model engine for upper-bound estimation.

SYNOPSIS

#include <ql/models/marketmodels/callability/upperboundengine.hpp>

Public Member Functions

UpperBoundEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const std::vector< boost::shared_ptr< MarketModelEvolver > > &innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue)

void multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths)

std::pair< Real, Real > singlePathValue (Size innerPaths)

Detailed Description

Market-model engine for upper-bound estimation.

Precondition:

: product and hedge must have the same rate times and exercise times

Author

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