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... |