MultiPathGenerator (3) - Linux Manuals

MultiPathGenerator: Generates a multipath from a random number generator.

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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