UpperBoundEngine Class Reference

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

List of all members.


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)