Engine collecting cash flows along a market-model simulation for doing
pathwise computation of Deltas and vegas
using Giles--Glasserman smoking adjoints method
note only works with displaced LMM,
The method is intimately connected with log-normal Euler evolution
We must work with discretely compounding MM account
To compute a vega means changing the pseudo-square root at each time step
So for each vega, we have a vector of matrices. So we need a vector of
vectors of matrices to compute all the vegas. We do the outermost vector by
time step and inner one by which vega. This is tested in
MarketModelTest::testPathwiseVegas
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas using Giles--Glasserman smoking adjoints method note only works with displaced LMM,
The method is intimately connected with log-normal Euler evolution
We must work with discretely compounding MM account To compute a vega means changing the pseudo-square root at each time step So for each vega, we have a vector of matrices. So we need a vector of vectors of matrices to compute all the vegas. We do the outermost vector by time step and inner one by which vega. This is tested in MarketModelTest::testPathwiseVegas