QuantLib_PathGenerator (3) Linux Manual Page

QuantLib::PathGenerator – Generates random paths using a sequence generator.

Synopsis

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

Public Types

typedef Sample< Path > sample_type

Public Member Functions

PathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge)

PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge)

inspectors

const sample_type & next () const

const sample_type & antithetic () const

Size size () const

const TimeGrid & timeGrid () const

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

Tests

the generated paths are checked against cached results

Examples:

DiscreteHedging.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.