MultiPathGenerator_old Class Template Reference

#include <multipathgenerator.hpp>

List of all members.


Detailed Description

template<class RAG>
class QuantLib::MonteCarlo::MultiPathGenerator_old< RAG >

Generates a multipath from a random number generator.

MultiPathGenerator_old<RAG> is a class that returns a random multi path. RAG is a sample generator which returns a random array. It must have the minimal interface:

            RAG{
                RAG();
                RAG(Matrix& covariance,
                    long seed);
                Sample<Array> next();
            };


Public Types

typedef Sample< MultiPathsample_type

Public Member Functions

 MultiPathGenerator_old (const Array &drifts, const Math::Matrix &covariance, Time length, Size timeSteps, long seed)
 MultiPathGenerator_old (const Array &drifts, const Math::Matrix &covariance, const TimeGrid &times, long seed=0)
const sample_type & next () const
const sample_type & antithetic () const


The documentation for this class was generated from the following file:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen