BrownianBridge (3) - Linux Manuals
BrownianBridge: Builds Wiener process paths using Gaussian variates.
QuantLib::BrownianBridge - Builds Wiener process paths using Gaussian variates.
Public Member Functions
BrownianBridge (Size steps)
BrownianBridge (const std::vector< Time > ×)
BrownianBridge (const TimeGrid &timeGrid)
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)
- the starting time of the path is assumed to be 0 and must not be included
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