MultiPathGenerator Class Template Reference
[Monte Carlo framework]
#include <ql/methods/montecarlo/multipathgenerator.hpp>
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< MultiPath > | sample_type |
Public Member Functions | |
MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false) | |
const sample_type & | next () const |
const sample_type & | antithetic () const |