QuantLib: PathwiseVegasOuterAccountingEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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PathwiseVegasOuterAccountingEngine Class Reference

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

`#include <ql/models/marketmodels/pathwiseaccountingengine.hpp>`

## Public Member Functions
| PathwiseVegasOuterAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue)
void | multiplePathValues (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths)
| Use to get vegas with respect to VegaBumps.
void | multiplePathValuesElementary (std::vector< Real > &means, std::vector< Real > &errors, Size numberOfPaths)
| Use to get vegas with respect to pseudo-root-elements.

## Detailed Description

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