MultiPath Class Reference
[Monte Carlo framework]

#include <ql/MonteCarlo/multipath.hpp>

List of all members.


Detailed Description

Correlated multiple asset paths.

MultiPath contains the list of variations for each asset,

\[ \log \frac{Y^j_{i+1}}{Y^j_i} \mathrm{for} i = 0, \ldots, n-1 \qquad \mathrm{and} \qquad j = 0, \ldots, m-1 \]

where $ Y^j_i $ is the value of the underlying $ j $ at discretized time $ t_i $. The first index refers to the underlying, the second to the time position MultiPath[j,i]

Todo:
rename as MultiAssetPath


Public Member Functions

 MultiPath (Size nAsset, const TimeGrid &timeGrid)
 MultiPath (const std::vector< Path > &multiPath)
inspectors
Size assetNumber () const
Size pathSize () const
read/write access to components
const Pathoperator[] (Size j) const
Pathoperator[] (Size j)


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