PathGenerator Class Template Reference

#include <ql/MonteCarlo/pathgenerator.hpp>

List of all members.


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


Public Types

typedef Sample< Pathsample_type

Public Member Functions

 PathGenerator (const Handle< DiffusionProcess > &diffProcess, Time length, Size timeSteps, const GSG &generator, bool brownianBridge)
 PathGenerator (const Handle< DiffusionProcess > &diffProcess, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge)
inspectors
const sample_type & next () const
const sample_type & antithetic () const
Size size () const
const TimeGridtimeGrid () const


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