BrownianBridge Class Reference

Builds Wiener process paths using Gaussian variates. More...

#include <brownianbridge.hpp>

Collaboration diagram for BrownianBridge:

Public Member Functions
	BrownianBridge (Size steps)
	BrownianBridge (const std::vector< Time > &times)
	BrownianBridge (const TimeGrid &timeGrid)

inspectors
Size	size_
std::vector< Time >	t_
std::vector< Real >	sqrtdt_
std::vector< Size >	bridgeIndex_
std::vector< Size >	leftIndex_
std::vector< Size >	rightIndex_
std::vector< Real >	leftWeight_
std::vector< Real >	rightWeight_
std::vector< Real >	stdDev_
Size	size () const
const std::vector< Time > &	times () const
const std::vector< Size > &	bridgeIndex () const
const std::vector< Size > &	leftIndex () const
const std::vector< Size > &	rightIndex () const
const std::vector< Real > &	leftWeight () const
const std::vector< Real > &	rightWeight () const
const std::vector< Real > &	stdDeviation () const
template<class RandomAccessIterator1 , class RandomAccessIterator2 >
void	transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const
	Brownian-bridge generator function. More...
void	initialize ()

Detailed Description

Builds Wiener process paths using Gaussian variates.

This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain the actual path of the underlying, the returned variations must be multiplied by the integrated variance (including time) over the corresponding time step.

Definition at line 53 of file brownianbridge.hpp.

Constructor & Destructor Documentation

BrownianBridge() [1/3]

BrownianBridge

(

Size

steps

)

The constructor generates the time grid so that each step is of unit-time length.

Parameters

steps

The number of steps in the path

Definition at line 34 of file brownianbridge.cpp.

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BrownianBridge() [2/3]

BrownianBridge

(

const std::vector< Time > &

times

)

The step times are copied from the supplied vector

Parameters

times

A vector containing the times at which the steps occur. This also defines the number of steps that will be generated.

Note

the starting time of the path is assumed to be 0 and must not be included

Definition at line 43 of file brownianbridge.cpp.

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BrownianBridge() [3/3]

BrownianBridge

(

const TimeGrid &

timeGrid

)

The step times are copied from the TimeGrid object

Parameters

timeGrid

a time grid containing the times at which the steps will occur

Definition at line 50 of file brownianbridge.cpp.

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Member Function Documentation

size()

Size size

(

)

const

Definition at line 79 of file brownianbridge.hpp.

times()

const std::vector< Time > & times

(

)

const

Definition at line 80 of file brownianbridge.hpp.

bridgeIndex()

const std::vector< Size > & bridgeIndex

(

)

const

Definition at line 81 of file brownianbridge.hpp.

leftIndex()

const std::vector< Size > & leftIndex

(

)

const

Definition at line 82 of file brownianbridge.hpp.

rightIndex()

const std::vector< Size > & rightIndex

(

)

const

Definition at line 83 of file brownianbridge.hpp.

leftWeight()

const std::vector< Real > & leftWeight

(

)

const

Definition at line 84 of file brownianbridge.hpp.

rightWeight()

const std::vector< Real > & rightWeight

(

)

const

Definition at line 85 of file brownianbridge.hpp.

stdDeviation()

const std::vector< Real > & stdDeviation

(

)

const

Definition at line 86 of file brownianbridge.hpp.

transform()

void transform	(	RandomAccessIterator1	begin,
		RandomAccessIterator1	end,
		RandomAccessIterator2	output
	)		const

Brownian-bridge generator function.

Transforms an input sequence of random variates into a sequence of variations in a Brownian bridge path.

Parameters

begin	The start iterator of the input sequence.
end	The end iterator of the input sequence.
output	The start iterator of the output sequence.

Note

To get the canonical Brownian bridge which starts and finishes at the same value, the first element of the input sequence must be zero. Conversely, to get a sloped bridge set the first element to a non-zero value. In this case, the final value in the bridge will be sqrt(last time point)*(first element of input sequence).

Definition at line 107 of file brownianbridge.hpp.

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initialize()

void initialize ( )

private

Definition at line 60 of file brownianbridge.cpp.

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Member Data Documentation

size_

Size size_

private

Definition at line 140 of file brownianbridge.hpp.

t_

std::vector<Time> t_

private

Definition at line 141 of file brownianbridge.hpp.

sqrtdt_

std::vector<Real> sqrtdt_

private

Definition at line 142 of file brownianbridge.hpp.

bridgeIndex_

std::vector<Size> bridgeIndex_

private

Definition at line 143 of file brownianbridge.hpp.

leftIndex_

std::vector<Size> leftIndex_

private

Definition at line 143 of file brownianbridge.hpp.

rightIndex_

std::vector<Size> rightIndex_

private

Definition at line 143 of file brownianbridge.hpp.

leftWeight_

std::vector<Real> leftWeight_

private

Definition at line 144 of file brownianbridge.hpp.

rightWeight_

std::vector<Real> rightWeight_

private

Definition at line 144 of file brownianbridge.hpp.

stdDev_

std::vector<Real> stdDev_

private

Definition at line 144 of file brownianbridge.hpp.