singlePathValue (3) - Linux Manuals

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

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

Generated automatically by Doxygen for QuantLib from the source code.