PathGenerator (3) - Linux Manuals

PathGenerator: Generates random paths using a sequence generator.

NAME

QuantLib::PathGenerator - Generates random paths using a sequence generator.

SYNOPSIS

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

Public Types

typedef Sample< Path > sample_type

Public Member Functions

PathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge)

PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge)

inspectors

const sample_type & next () const

const sample_type & antithetic () const

Size size () const

const TimeGrid & timeGrid () const

Detailed Description

template<class GSG> class QuantLib::PathGenerator< GSG >

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator

Tests

the generated paths are checked against cached results

Examples:

DiscreteHedging.cpp.

Author

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