QuantLib_MultiPathGenerator man page

MultiPathGenerator< GSG > — 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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages antithetic(3) and MultiPathGenerator(3) are aliases of QuantLib_MultiPathGenerator(3).

Wed Aug 2 2017 Version 1.10 QuantLib