MultiPathGenerator Class Template Reference
[Monte Carlo framework]

#include <ql/methods/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();
        };

Tests:
the generated paths are checked against cached results


Public Types

typedef Sample< MultiPathsample_type

Public Member Functions

 MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)
const sample_typenext () const
const sample_typeantithetic () const