QuantLib_PathGenerator man page

PathGenerator< GSG > — Generates random paths using a sequence generator.  


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

Public Types

typedef Sample< Path > sample_type

Public Member Functions

PathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge)
PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge)


const sample_type & next () const
const sample_type & antithetic () const
Size size () const
const TimeGrid & timeGrid () const

Detailed Description

template<class GSG>

class QuantLib::PathGenerator< GSG >" Generates random paths using a sequence generator.

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator


the generated paths are checked against cached results

Examples: DiscreteHedging.cpp.


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Referenced By

The man page PathGenerator(3) is an alias of QuantLib_PathGenerator(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib