MultiPathGenerator Class Template Reference
[Monte Carlo framework]

#include <ql/MonteCarlo/multipathgenerator.hpp>

List of all members.


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(); };

Todo:
why store correlation matrix rather than covariance?


Public Types

typedef Sample< MultiPathsample_type

Public Member Functions

 MultiPathGenerator (const std::vector< boost::shared_ptr< StochasticProcess > > &diffusionProcs, const Matrix &correlation, const TimeGrid &timeGrid, GSG generator, bool brownianBridge)
const sample_typenext () const
const sample_typeantithetic () const


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