ql/methods/montecarlo/brownianbridge.hpp File Reference


Detailed Description

Browian bridge.

#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/voltermstructure.hpp>

Include dependency graph for brownianbridge.hpp:


Namespaces

namespace  QuantLib

Classes

class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...