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QuantLib_BrownianBridge
Langue: en
Version: 381291 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Constructor & Destructor Documentation
- BrownianBridge (Size steps)The constructor generates the time grid so that each step is of unit-time length.
- BrownianBridge (const std::vector< Time > & times)The step times are copied from the supplied vector
- BrownianBridge (const TimeGrid & timeGrid)The step times are copied from the TimeGrid object
- Member Function Documentation
- Author
NAME
QuantLib::BrownianBridge -Builds Wiener process paths using Gaussian variates.
SYNOPSIS
#include <ql/methods/montecarlo/brownianbridge.hpp>
Public Member Functions
BrownianBridge (Size steps)
BrownianBridge (const std::vector< Time > ×)
BrownianBridge (const TimeGrid &timeGrid)
template<class RandomAccessIterator1 , class RandomAccessIterator2 > void transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const
Brownian-bridge generator function.
inspectors
Size size () const
const std::vector< Time > & times () const
Detailed Description
Builds Wiener process paths using Gaussian variates.
This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain the actual path of the underlying, the returned variations must be multiplied by the integrated variance (including time) over the corresponding time step.
Constructor & Destructor Documentation
BrownianBridge (Size steps)The constructor generates the time grid so that each step is of unit-time length.
Parameters:
- steps The number of steps in the path
BrownianBridge (const std::vector< Time > & times)The step times are copied from the supplied vector
Parameters:
- times A vector containing the times at which the steps occur. This also defines the number of steps that will be generated.
Note:
- the starting time of the path is assumed to be 0 and must not be included
BrownianBridge (const TimeGrid & timeGrid)The step times are copied from the TimeGrid object
Parameters:
- timeGrid a time grid containing the times at which the steps will occur
Member Function Documentation
void transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const
Brownian-bridge generator function. Transforms an input sequence of random variates into a sequence of variations in a Brownian bridge path.
Parameters:
- begin The start iterator of the input sequence.
end The end iterator of the input sequence.
output The start iterator of the output sequence.
Note:
- To get the canonical Brownian bridge which starts and finishes at the same value, the first element of the input sequence must be zero. Conversely, to get a sloped bridge set the first element to a non-zero value. In this case, the final value in the bridge will be sqrt(last time point)*(first element of input sequence).
Author
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