#include <qle/pricingengines/amccalculator.hpp>

Inheritance diagram for AmcCalculator:

Public Member Functions
virtual QuantLib::Currency	npvCurrency ()=0

virtual std::vector< QuantExt::RandomVariable >	simulatePath (const std::vector< QuantLib::Real > &pathTimes, std::vector< std::vector< QuantExt::RandomVariable >> &paths, const std::vector< bool > &isRelevantTime, const bool stickyCloseOutRun)=0

Detailed Description

amc interface

Member Function Documentation

virtual QuantLib::Currency npvCurrency ( )

pure virtual

currency of simulated npvs

virtual std::vector<QuantExt::RandomVariable> simulatePath	(	const std::vector< QuantLib::Real > &	pathTimes,
		std::vector< std::vector< QuantExt::RandomVariable >> &	paths,
		const std::vector< bool > &	isRelevantTime,
		const bool	stickyCloseOutRun
	)

pure virtual

simulate paths on given times and return simulated npvs for all paths
isRelevantTime marks the entries in paths that should be simulated in the end
if stickyCloseOutRun is true, the simulation times should be taken from the previous index