PathGenerator< GSG > Class Template Reference

Generates random paths using a sequence generator. More...

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

Collaboration diagram for PathGenerator< GSG >:

Public Types
typedef Sample< Path >	sample_type

Public Member Functions
	PathGenerator (const ext::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, GSG generator, bool brownianBridge)
	PathGenerator (const ext::shared_ptr< StochasticProcess > &, TimeGrid timeGrid, GSG generator, bool brownianBridge)

inspectors
bool	brownianBridge_
GSG	generator_
Size	dimension_
TimeGrid	timeGrid_
ext::shared_ptr< StochasticProcess1D >	process_
sample_type	next_
std::vector< Real >	temp_
BrownianBridge	bb_
const sample_type &	next () const
const sample_type &	antithetic () const
Size	size () const
const TimeGrid &	timeGrid () const
const sample_type &	next (bool antithetic) const

Detailed Description

template<class GSG>
class QuantLib::PathGenerator< GSG >

Generates random paths using a sequence generator.

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator

Tests:

the generated paths are checked against cached results

Examples

DiscreteHedging.cpp.

Definition at line 45 of file pathgenerator.hpp.

Member Typedef Documentation

sample_type

typedef Sample<Path> sample_type

Definition at line 47 of file pathgenerator.hpp.

Constructor & Destructor Documentation

PathGenerator() [1/2]

PathGenerator	(	const ext::shared_ptr< StochasticProcess > &	process,
		Time	length,
		Size	timeSteps,
		GSG	generator,
		bool	brownianBridge
	)

Definition at line 81 of file pathgenerator.hpp.

PathGenerator() [2/2]

PathGenerator	(	const ext::shared_ptr< StochasticProcess > &	process,
		TimeGrid	timeGrid,
		GSG	generator,
		bool	brownianBridge
	)

Definition at line 96 of file pathgenerator.hpp.

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Member Function Documentation

next() [1/2]

const PathGenerator< GSG >::sample_type & next

Definition at line 111 of file pathgenerator.hpp.

antithetic()

const PathGenerator< GSG >::sample_type & antithetic

Definition at line 117 of file pathgenerator.hpp.

size()

Size size

(

)

const

Definition at line 62 of file pathgenerator.hpp.

timeGrid()

const TimeGrid & timeGrid

(

)

const

Definition at line 63 of file pathgenerator.hpp.

next() [2/2]

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

private

Definition at line 123 of file pathgenerator.hpp.

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Member Data Documentation

brownianBridge_

bool brownianBridge_

private

Definition at line 67 of file pathgenerator.hpp.

generator_

GSG generator_

private

Definition at line 68 of file pathgenerator.hpp.

dimension_

Size dimension_

private

Definition at line 69 of file pathgenerator.hpp.

timeGrid_

TimeGrid timeGrid_

private

Definition at line 70 of file pathgenerator.hpp.

process_

ext::shared_ptr<StochasticProcess1D> process_

private

Definition at line 71 of file pathgenerator.hpp.

next_

sample_type next_

mutableprivate

Definition at line 72 of file pathgenerator.hpp.

temp_

std::vector<Real> temp_

mutableprivate

Definition at line 73 of file pathgenerator.hpp.

bb_

BrownianBridge bb_

private

Definition at line 74 of file pathgenerator.hpp.