QuantLib_PathGenerator man page

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

Synopsis

#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)

inspectors

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

Tests

the generated paths are checked against cached results

Examples: DiscreteHedging.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

PathGenerator(3) is an alias of QuantLib_PathGenerator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib