Package com.opengamma.analytics.financial.montecarlo

Examples of com.opengamma.analytics.financial.montecarlo.MonteCarloDiscountFactorDataBundle

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            y[i][looppath] += x[j][looppath] * covCD[i][j];
          }
        }
      }
      final Double[][][] pD = pathGeneratorDiscount(pDI, y, h, h2, gamma);
      pv += instrument.accept(MCC, new MonteCarloDiscountFactorDataBundle(pD, impactAmount)) * nbPath2[loopblock];
    }
    pv *= pDN / getNbPath(); // Multiply by the numeraire.
    return MultipleCurrencyAmount.of(ccy, pv);
  }
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            y[i][looppath] += x[j][looppath] * covCD[i][j];
          }
        }
      }
      final Double[][][] pD = pathGeneratorDiscount(pDI, y, h, tau2);
      pv += instrument.accept(MCC, new MonteCarloDiscountFactorDataBundle(pD, impactAmount)) * nbPath2[loopblock];
    }
    pv *= pDN / getNbPath(); // Multiply by the numeraire.
    return MultipleCurrencyAmount.of(ccy, pv);
  }
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Related Classes of com.opengamma.analytics.financial.montecarlo.MonteCarloDiscountFactorDataBundle

  • com.opengamma.analytics.financial.montecarlo.provider.G2ppMonteCarloMethod
  • com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod
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