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 implementation is different in
that all the linear combinations by the bumps are done as late as possible,
whereas PathwiseVegasAccountingEngine does them as early as possible.
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 implementation is different in that all the linear combinations by the bumps are done as late as possible, whereas PathwiseVegasAccountingEngine does them as early as possible. This is tested in MarketModelTest::testPathwiseVegas