BrownianBridge (3) - Linux Manuals

BrownianBridge: Builds Wiener process paths using Gaussian variates.

NAME

QuantLib::BrownianBridge - Builds Wiener process paths using Gaussian variates.

SYNOPSIS

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

Public Member Functions

BrownianBridge (Size steps)
unit-time path
BrownianBridge (const std::vector< Time > &times)
generic times
BrownianBridge (const TimeGrid &timeGrid)
generic times

inspectors

Size size () const

const std::vector< Time > & times () const

Brownian-bridge constructor

template<class RandomAccessIterator1 , class RandomAccessIterator2 > void transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const

Detailed Description

Builds Wiener process paths using Gaussian variates.

This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain the actual path of the underlying, the returned variations must be multiplied by the integrated variance (including time) over the corresponding time step.

Constructor & Destructor Documentation

BrownianBridge (const std::vector< Time > & times)

generic times

Note:

the starting time of the path is assumed to be 0 and must not be included

Author

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