QuantLib_Path (3) - Linux Manuals
QuantLib_Path: single-factor random walk
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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