if you are only pricing do not use the pathwise code. This is for
computing Greeks.
In either case you use the method
.multiplePathValues
of the accounting engine.
---------- Forwarded message ----------
From: "Andreas Spengler" <
[hidden email]>
To:
[hidden email]
Date: Tue, 5 Apr 2011 09:53:48 +0200
Subject: [Quantlib-users] MarketModelPathwiseMultiProduct CashFlows
Hi,
I am in the process of implementing a Spread Target Redemption Note
(derived from MarketModelPathwiseMultiProduct).
I managed to adapt the MarketModel.cpp example to use my new class, but
one question remains: how do I get the (expected/mean) cash flows from the
PathwiseAccountingEngine?
Rgds,
Andreas
--
Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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