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brownianbridge.hpp
Langue: en
Version: 155556 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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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