NullAmcCalculator Class Reference

Inheritance diagram for NullAmcCalculator:

Public Member Functions
QuantLib::Currency	npvCurrency () override
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) override
Public Member Functions inherited from AmcCalculator
template<class Archive>
void	serialize (Archive &ar, const unsigned int version)

Member Function Documentation

npvCurrency()

QuantLib::Currency npvCurrency ( )

overridevirtual

currency of simulated npvs

Implements AmcCalculator.

simulatePath()

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 )

overridevirtual

• 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

Implements AmcCalculator.