QuantLib 0.3.11
Getting started
Reference manual
PathGenerator Class Template Reference
[Monte Carlo framework]
#include <ql/MonteCarlo/pathgenerator.hpp>
Detailed Description
template<class GSG>
class QuantLib::PathGenerator< GSG >
Generates random paths using a sequence generator.
Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator
- Tests:
- the generated paths are checked against cached results
- Examples:
Public Types | |
| typedef Sample< Path > | sample_type |
Public Member Functions | |
| PathGenerator (const boost::shared_ptr< StochasticProcess1D > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge) | |
| PathGenerator (const boost::shared_ptr< StochasticProcess1D > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge) | |
inspectors | |
| const sample_type & | next () const |
| const sample_type & | antithetic () const |
| Size | size () const |
| const TimeGrid & | timeGrid () const |
