QuantLib_Path (3) - Linux Manuals

QuantLib_Path: single-factor random walk

Command to display QuantLib_Path manual in Linux: $ man 3 QuantLib_Path

NAME

QuantLib::Path - single-factor random walk

SYNOPSIS

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

Public Member Functions

Path (const TimeGrid &timeGrid, const Array &values=Array())

inspectors

bool empty () const

Size length () const

Real operator[] (Size i) const
asset value at the $ i $-th point
Real at (Size i) const

Real & operator[] (Size i)

Real & at (Size i)

Real value (Size i) const

Real & value (Size i)

Time time (Size i) const
time at the $ i $-th point
Real front () const
initial asset value
Real & front ()

Real back () const
final asset value
Real & back ()

const TimeGrid & timeGrid () const
time grid

iterators

typedef Array::const_iterator iterator

typedef Array::const_reverse_iterator reverse_iterator

iterator begin () const

iterator end () const

reverse_iterator rbegin () const

reverse_iterator rend () const

Detailed Description

single-factor random walk

Note:

: the path includes the initial asset value as its first point.

Examples:

DiscreteHedging.cpp.

Author

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