QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
brownianbridge.hpp File Reference

Browian bridge. More...

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

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Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

Browian bridge.

Definition in file brownianbridge.hpp.