#include <qle/pricingengines/amccalculator.hpp>

Inheritance diagram for AmcCalculator:

Public Member Functions
virtual QuantLib::Currency	npvCurrency ()=0
virtual std::vector< QuantExt::RandomVariable >	simulatePath (const std::vector< QuantLib::Real > &pathTimes, const std::vector< std::vector< QuantExt::RandomVariable > > &paths, const std::vector< size_t > &relevantPathIndex, const std::vector< size_t > &relevantTimeIndex)=0
template<class Archive>
void	serialize (Archive &ar, const unsigned int version)

Friends
class	boost::serialization::access

Detailed Description

amc interface

Member Function Documentation

virtual QuantLib::Currency npvCurrency ( )

pure virtual

currency of simulated npvs

virtual std::vector< QuantExt::RandomVariable > simulatePath	(	const std::vector< QuantLib::Real > &	pathTimes,
		const std::vector< std::vector< QuantExt::RandomVariable > > &	paths,
		const std::vector< size_t > &	relevantPathIndex,
		const std::vector< size_t > &	relevantTimeIndex )

pure virtual

simulate paths on given times and return simulated npvs for all paths
relevantPathIndex gives the relevant entries in the paths that should be simulated in the end
relevantTimeIndex gives the corrosponding time indexes for a sticky closeOut run
if stickyCloseOutRun is true, the simulation times should be taken relevantTimeIndexes