BrownianBridge Class Template Reference

#include <ql/MonteCarlo/brownianbridge.hpp>

List of all members.


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


Public Types

typedef Sample< std::vector<
double > > 
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< double > &sigma, const TimeGrid &timeGrid, const GSG &generator)
 general Wiener process paths

 BrownianBridge (const Handle< BlackVolTermStructure > &blackVol, const TimeGrid &timeGrid, const GSG &generator)
 BrownianBridge (const Handle< DiffusionProcess > &diffProcess, const TimeGrid &timeGrid, const GSG &generator)
inspectors
const sample_typenext () const
const sample_typelast () const
Size size () const
const TimeGridtimeGrid () const


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