MultiPathGenerator Class Template Reference

#include <ql/MonteCarlo/multipathgenerator.hpp>

List of all members.


Detailed Description

template<class GSG>
class QuantLib::MultiPathGenerator< GSG >

Generates a multipath from a random number generator.

MultiPathGenerator<RAG> is a class that returns a random multi path. RAG is a sample generator which returns a random array. It must have the minimal interface:

RAG{ RAG(); RAG(Matrix& covariance, long seed); Sample<Array> next(); };

Todo:
why store correlation Matrix rather than covariance?


Public Types

typedef Sample< MultiPathsample_type

Public Member Functions

 MultiPathGenerator (const std::vector< Handle< DiffusionProcess > > &diffusionProcs, const Matrix &correlation, const TimeGrid &timeGrid, GSG generator, bool brownianBridge)
const sample_type & next () const
const sample_type & antithetic () const


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