QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Generates random paths using a sequence generator. More...
#include <pathgenerator.hpp>
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 |
Generates random paths using a sequence generator.
Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator
Definition at line 45 of file pathgenerator.hpp.
typedef Sample<Path> sample_type |
Definition at line 47 of file pathgenerator.hpp.
PathGenerator | ( | const ext::shared_ptr< StochasticProcess > & | process, |
Time | length, | ||
Size | timeSteps, | ||
GSG | generator, | ||
bool | brownianBridge | ||
) |
Definition at line 81 of file pathgenerator.hpp.
PathGenerator | ( | const ext::shared_ptr< StochasticProcess > & | process, |
TimeGrid | timeGrid, | ||
GSG | generator, | ||
bool | brownianBridge | ||
) |
const PathGenerator< GSG >::sample_type & next |
Definition at line 111 of file pathgenerator.hpp.
const PathGenerator< GSG >::sample_type & antithetic |
Definition at line 117 of file pathgenerator.hpp.
Size size | ( | ) | const |
Definition at line 62 of file pathgenerator.hpp.
const TimeGrid & timeGrid | ( | ) | const |
Definition at line 63 of file pathgenerator.hpp.
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Definition at line 67 of file pathgenerator.hpp.
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Definition at line 68 of file pathgenerator.hpp.
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Definition at line 69 of file pathgenerator.hpp.
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Definition at line 70 of file pathgenerator.hpp.
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Definition at line 71 of file pathgenerator.hpp.
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mutableprivate |
Definition at line 72 of file pathgenerator.hpp.
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mutableprivate |
Definition at line 73 of file pathgenerator.hpp.
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Definition at line 74 of file pathgenerator.hpp.