UpperBoundEngine Class Reference
#include <ql/models/marketmodels/callability/upperboundengine.hpp>
Detailed Description
Market-model engine for upper-bound estimation.
- Precondition:
- product and hedge must have the same rate times and exercise times
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) |