Class PathwiseAccountingEngine
Constructors
constructor
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:23
Parameters
initialNumeraireValue: Real
Properties
Private _Discounts
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:346
Private _LIBORRates
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:352
Private _LIBORRatios
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:345
Private _StepsDiscountsSquared _
StepsDiscountsSquared: Matrix
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:349
Private _V
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:343
Private _cashFlowIndicesThisStep _cash
FlowIndicesThisStep: Size [] []
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:360
Private _cashFlowsGenerated
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:339
Private _currentForwards
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:331
Private _deflatorAndDerivatives _deflator
AndDerivatives: Real []
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:355
Private _discounters
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:341
Private _doDeflation _doDeflation: boolean
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:334
Private _evolver
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:321
Private _initialNumeraireValue _initial
NumeraireValue: Real
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:325
Private _lastForwards
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:332
Private _numberCashFlowTimes _number
CashFlowTimes: Size
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:328
Private _numberCashFlowsThisIndex _number
CashFlowsThisIndex: Size [] []
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:357
Private _numberCashFlowsThisStep _number
CashFlowsThisStep: Size []
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:338
Private _numberProducts
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:326
Private _numberRates
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:327
Private _numberSteps
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:329
Private _numerairesHeld
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:337
Private _partials
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:353
Private _product
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:322
Private _pseudoRootStructure
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:323
Private _totalCashFlowsThisIndex _total
CashFlowsThisIndex: Matrix []
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:358
Methods
multiplePathValues
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:117
Parameters
Returns void
singlePathValues
Defined in ql/models/marketmodels/pathwiseaccountingengine.ts:126
Parameters
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Static property Static method
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas using Giles--Glasserman smoking adjoints method note only works with displaced LMM, and requires knowledge of pseudo-roots and displacements This is tested in MarketModelTest::testPathwiseGreeks