Package com.opengamma.analytics.financial.montecarlo

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


        for (int looppath = 0; looppath < nbPath2[loopblock]; looppath++) {
          initLPath[loopper][looppath] = initL[loopper];
        }
      }
      final double[][][] pathIbor = pathgeneratorlibor(decision.getDecisionTime(), initLPath, parameters);
      price += instrument.accept(MCC, new MonteCarloIborRateDataBundle(pathIbor, deltaLMM, decision.getImpactAmount(), impactIndex));
    }
    price *= multicurves.getDiscountFactor(ccy, parameters.getIborTime()[parameters.getIborTime().length - 1]) / getNbPath();
    return MultipleCurrencyAmount.of(ccy, price);
  }
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