BrownianBridge Class Reference
[Monte Carlo framework]

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

List of all members.


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 > &times)
 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