QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
Path Class Reference

single-factor random walk More...

#include <path.hpp>

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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
 
Realoperator[] (Size i)
 
Realat (Size i)
 
Real value (Size i) const
 
Realvalue (Size i)
 
Time time (Size i) const
 time at the \( i \)-th point More...
 
Real front () const
 initial asset value More...
 
Realfront ()
 
Real back () const
 final asset value More...
 
Realback ()
 
const TimeGridtimeGrid () 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

Definition at line 67 of file path.hpp.

◆ 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.