antithetic(3)
NAME
QuantLib::MultiPathGenerator – Generates a multipath from a random number generator.
SYNOPSIS
#include <ql/methods/montecarlo/multipathgenerator.hpp>
Public Types
typedef Sample< MultiPath > sample_type
Public Member Functions
MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)
const sample_type & next () const
const sample_type & antithetic () const
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();
};
Tests
- the generated paths are checked against cached results
Author
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