MultiPathGenerator Class Template Reference
[Monte Carlo framework]
#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.
RSG is a sample generator which returns a random sequence. It must have the minimal interface: RSG {
Sample<Array> next();
};
- Todo:
- why store correlation matrix rather than covariance?
|
Public Types |
typedef Sample< MultiPath > | sample_type |
Public Member Functions |
| MultiPathGenerator (const std::vector< boost::shared_ptr< StochasticProcess > > &diffusionProcs, const Matrix &correlation, const TimeGrid &timeGrid, GSG generator, bool brownianBridge=false) |
const sample_type & | next () const |
const sample_type & | antithetic () const |
|