brownianbridgepathinterpolator.hpp File Reference

brownian bridge path interpolator More...

#include <qle/math/randomvariable.hpp>

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Namespaces
namespace	QuantExt

Functions
void	interpolateVariatesWithBrownianBridge (const std::vector< QuantLib::Real > &times, std::vector< std::vector< QuantExt::RandomVariable > > &variates, const Size seed)

Detailed Description

brownian bridge path interpolator

Definition in file brownianbridgepathinterpolator.hpp.