Path Class Reference

single-factor random walk More...

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

Collaboration diagram for Path:

Public Member Functions
	Path (TimeGrid timeGrid, Array values=Array())
inspectors
bool	empty () const
Size	length () const
Real	operator[] (Size i) const
	asset value at the \( i \)-th point More...
Real	at (Size i) const
Real &	operator[] (Size i)
Real &	at (Size i)
Real	value (Size i) const
Real &	value (Size i)
Time	time (Size i) const
	time at the \( i \)-th point More...
Real	front () const
	initial asset value More...
Real &	front ()
Real	back () const
	final asset value More...
Real &	back ()
const TimeGrid &	timeGrid () const
	time grid More...

iterators
typedef Array::const_iterator	iterator
typedef Array::const_reverse_iterator	reverse_iterator
TimeGrid	timeGrid_
Array	values_
iterator	begin () const
iterator	end () const
reverse_iterator	rbegin () const
reverse_iterator	rend () const

Detailed Description

single-factor random walk

Note

the path includes the initial asset value as its first point.

Examples

DiscreteHedging.cpp.

Definition at line 40 of file path.hpp.

Member Typedef Documentation

iterator

typedef Array::const_iterator iterator

Definition at line 67 of file path.hpp.

reverse_iterator

typedef Array::const_reverse_iterator reverse_iterator

Definition at line 68 of file path.hpp.

Constructor & Destructor Documentation

Path()

Path	(	TimeGrid	timeGrid,
		Array	values = Array()
	)

Definition at line 82 of file path.hpp.

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Member Function Documentation

empty()

bool empty

(

)

const

Definition at line 90 of file path.hpp.

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length()

Size length

(

)

const

Examples

DiscreteHedging.cpp.

Definition at line 94 of file path.hpp.

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operator[]() [1/2]

Real operator[]

(

Size

i

)

const

asset value at the \( i \)-th point

Definition at line 98 of file path.hpp.

at() [1/2]

Real at

(

Size

i

)

const

Definition at line 102 of file path.hpp.

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operator[]() [2/2]

Real & operator[]

(

Size

i

)

Definition at line 106 of file path.hpp.

at() [2/2]

Real & at

(

Size

i

)

Definition at line 110 of file path.hpp.

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value() [1/2]

Real value

(

Size

i

)

const

Definition at line 114 of file path.hpp.

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value() [2/2]

Real & value

(

Size

i

)

Definition at line 118 of file path.hpp.

time()

Time time

(

Size

i

)

const

time at the \( i \)-th point

Definition at line 138 of file path.hpp.

front() [1/2]

Real front

(

)

const

initial asset value

Examples

DiscreteHedging.cpp.

Definition at line 122 of file path.hpp.

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front() [2/2]

Real & front

(

)

Definition at line 126 of file path.hpp.

back() [1/2]

Real back

(

)

const

final asset value

Definition at line 130 of file path.hpp.

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back() [2/2]

Real & back

(

)

Definition at line 134 of file path.hpp.

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timeGrid()

const TimeGrid & timeGrid

(

)

const

time grid

Definition at line 142 of file path.hpp.

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begin()

Path::iterator begin

(

)

const

Definition at line 146 of file path.hpp.

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end()

Path::iterator end

(

)

const

Definition at line 150 of file path.hpp.

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rbegin()

Path::reverse_iterator rbegin

(

)

const

Definition at line 154 of file path.hpp.

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rend()

Path::reverse_iterator rend

(

)

const

Definition at line 158 of file path.hpp.

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Member Data Documentation

timeGrid_

TimeGrid timeGrid_

private

Definition at line 75 of file path.hpp.

values_

Array values_

private

Definition at line 76 of file path.hpp.