MultiPathGenerator< GSG > Class Template Reference

Generates a multipath from a random number generator. More...

#include <multipathgenerator.hpp>

Collaboration diagram for MultiPathGenerator< GSG >:

Public Types
typedef Sample< MultiPath >	sample_type

Public Member Functions
	MultiPathGenerator (const ext::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)
const sample_type &	next () const
const sample_type &	antithetic () const

Private Member Functions
const sample_type &	next (bool antithetic) const

Private Attributes
bool	brownianBridge_
ext::shared_ptr< StochasticProcess >	process_
GSG	generator_
sample_type	next_

Detailed Description

template<class GSG>
class QuantLib::MultiPathGenerator< GSG >

Generates a multipath from a random number generator.

RSG is a sample generator which returns a random sequence. It must have the minimal interface:

RSG {
    Sample<Array> next();
};

Tests:

the generated paths are checked against cached results

Definition at line 51 of file multipathgenerator.hpp.

Member Typedef Documentation

sample_type

typedef Sample<MultiPath> sample_type

Definition at line 53 of file multipathgenerator.hpp.

Constructor & Destructor Documentation

MultiPathGenerator()

MultiPathGenerator	(	const ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	times,
		GSG	generator,
		bool	brownianBridge = false
	)

Definition at line 72 of file multipathgenerator.hpp.

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Member Function Documentation

next() [1/2]

const MultiPathGenerator< GSG >::sample_type & next

Definition at line 92 of file multipathgenerator.hpp.

antithetic()

const MultiPathGenerator< GSG >::sample_type & antithetic

Definition at line 98 of file multipathgenerator.hpp.

next() [2/2]

const MultiPathGenerator< GSG >::sample_type & next ( bool  antithetic ) const

private

Definition at line 104 of file multipathgenerator.hpp.

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Member Data Documentation

brownianBridge_

bool brownianBridge_

private

Definition at line 62 of file multipathgenerator.hpp.

process_

ext::shared_ptr<StochasticProcess> process_

private

Definition at line 63 of file multipathgenerator.hpp.

generator_

GSG generator_

private

Definition at line 64 of file multipathgenerator.hpp.

next_

sample_type next_

mutableprivate

Definition at line 65 of file multipathgenerator.hpp.