Class AccountingEngine

Hierarchy

AccountingEngine

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AccountingEngine(evolver: MarketModelEvolver, product: MarketModelMultiProduct, initialNumeraireValue: Real): AccountingEngine

- Defined in ql/models/marketmodels/accountingengine.ts:12
Parameters
- evolver: MarketModelEvolver
- product: MarketModelMultiProduct
- initialNumeraireValue: Real
Returns AccountingEngine

Properties

Private _cashFlowsGenerated

_cashFlowsGenerated: CashFlow[][]

Private _discounters

_discounters: MarketModelDiscounter[]

Private _evolver

_evolver: MarketModelEvolver

Private _initialNumeraireValue

_initialNumeraireValue: Real

Private _numberCashFlowsThisStep

_numberCashFlowsThisStep: Size[]

Private _numberProducts

_numberProducts: Size

Private _numerairesHeld

_numerairesHeld: Real[]

Private _product

_product: MarketModelMultiProduct

Methods

multiplePathValues

multiplePathValues(stats: SequenceStatisticsInc, numberOfPaths: Size): void

- Defined in ql/models/marketmodels/accountingengine.ts:38
Parameters
- stats: SequenceStatisticsInc
- numberOfPaths: Size
Returns void

singlePathValues

singlePathValues(values: Real[]): Real

- Defined in ql/models/marketmodels/accountingengine.ts:46
Parameters
- values: Real[]
Returns Real