BrownianBridge Class Template Reference
[Monte Carlo framework]
#include <ql/MonteCarlo/brownianbridge.hpp>
Detailed Description
template<class GSG>
class QuantLib::BrownianBridge< GSG >
Builds Wiener process paths using Gaussian variates.
For more details: "Monte Carlo Methods in Finance" by P. Jäckel, section 10.8.3
- Note:
- this class does not work if the diffusion term of the underlying stochastic process is asset-dependent.
Public Types | |
typedef Sample< std::vector< Real > > | sample_type |
Public Member Functions | |
BrownianBridge (const GSG &generator) | |
normalised (unit time, unit variance) Wiener process paths | |
BrownianBridge (Time length, Size timeSteps, const GSG &generator) | |
unit variance Wiener process paths | |
BrownianBridge (const TimeGrid &timeGrid, const GSG &generator) | |
unit variance Wiener process paths | |
BrownianBridge (const std::vector< Real > &sigma, const TimeGrid &timeGrid, const GSG &generator) | |
general Wiener process paths | |
BrownianBridge (const boost::shared_ptr< BlackVolTermStructure > &, const TimeGrid &timeGrid, const GSG &generator) | |
BrownianBridge (const boost::shared_ptr< StochasticProcess1D > &, const TimeGrid &timeGrid, const GSG &generator) | |
inspectors | |
const sample_type & | next () const |
const sample_type & | last () const |
Size | size () const |
const TimeGrid & | timeGrid () const |