QuantLib_MultiPathGenerator

Langue: en

Autres versions - même langue

Version: 375843 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MultiPathGenerator -

Generates a multipath from a random number generator.

SYNOPSIS


#include <ql/methods/montecarlo/multipathgenerator.hpp>

Public Types


typedef Sample< MultiPath > sample_type

Public Member Functions


MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)

const sample_type & next () const

const sample_type & antithetic () const

Detailed Description

template<class GSG> class QuantLib::MultiPathGenerator< GSG >

Generates a multipath from a random number generator.

RSG is a sample generator which returns a random sequence. It must have the minimal interface:

         RSG {
             Sample<Array> next();
         };

Tests

the generated paths are checked against cached results

Author

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