Inheritance diagram for MultiLegBaseAmcCalculator:

Public Member Functions
	MultiLegBaseAmcCalculator (const std::vector< Size > &externalModelIndices, const Settlement::Type settlement, const std::set< Real > &exerciseXvaTimes, const std::set< Real > &exerciseTimes, const std::set< Real > &xvaTimes, const std::vector< Array > &coeffsUndDirty, const std::vector< Array > &coeffsUndExInto, const std::vector< Array > &coeffsContinuationValue, const std::vector< Array > &coeffsOption, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)>> &basisFns, const Real resultValue, const Array &initialState, const Currency &baseCurrency)

Currency	npvCurrency () override

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) override

Member Function Documentation

◆ npvCurrency()

Currency npvCurrency ( )

overridevirtual

currency of simulated npvs

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
	)

overridevirtual

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