#include <ql/MonteCarlo/pathgenerator.hpp>
List of all members.
Detailed Description
template<class GSG>
class QuantLib::PathGenerator< GSG >
Generates random paths using a sequence generator.
Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator
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Public Types |
typedef Sample< Path > | sample_type |
Public Member Functions |
| PathGenerator (const boost::shared_ptr< StochasticProcess > &diffProcess, Time length, Size timeSteps, const GSG &generator, bool brownianBridge) |
| PathGenerator (const boost::shared_ptr< StochasticProcess > &diffProcess, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge) |
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const sample_type & | next () const |
const sample_type & | antithetic () const |
Size | size () const |
const TimeGrid & | timeGrid () const |
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