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

antithetic(3) and MultiPathGenerator(3) are aliases of QuantLib_MultiPathGenerator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib