brownianbridge.hpp

Langue: en

Autres versions - même langue

Version: 375344 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/methods/montecarlo/brownianbridge.hpp -

Browian bridge.

SYNOPSIS


#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Classes


class BrownianBridge
Builds Wiener process paths using Gaussian variates.

Detailed Description

Browian bridge.

Author

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