PathGenerator Class Template Reference
[Monte Carlo framework]

#include <ql/methods/montecarlo/pathgenerator.hpp>

List of all members.


Detailed Description

template<class GSG>
class QuantLib::PathGenerator< GSG >

Generates random paths using a sequence generator.

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator

Tests:
the generated paths are checked against cached results


Public Types

typedef Sample< Pathsample_type

Public Member Functions

 PathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge)
 PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge)
inspectors
const sample_typenext () const
const sample_typeantithetic () const
Size size () const
const TimeGridtimeGrid () const