BrownianBridge Class Reference
[Monte Carlo framework]
#include <ql/methods/montecarlo/brownianbridge.hpp>
Detailed Description
Builds Wiener process paths using Gaussian variates.This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain the actual path of the underlying, the returned variations must be multiplied by the integrated variance (including time) over the corresponding time step.
Brownian-bridge constructor | |
template<class RandomAccessIterator1, class RandomAccessIterator2> | |
void | transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const |
Public Member Functions | |
BrownianBridge (Size steps) | |
unit-time path | |
BrownianBridge (const std::vector< Time > ×) | |
generic times | |
BrownianBridge (const TimeGrid &timeGrid) | |
generic times | |
inspectors | |
Size | size () const |
const std::vector< Time > & | times () const |
Constructor & Destructor Documentation
BrownianBridge | ( | const std::vector< Time > & | times | ) |
generic times
- Note:
- the starting time of the path is assumed to be 0 and must not be included