MultiPathGenerator Class Template Reference

#include <multipathgenerator.hpp>

List of all members.


Detailed Description

template<class SG>
class QuantLib::MonteCarlo::MultiPathGenerator< SG >

Generates a multipath from a random number generator.

MultiPathGenerator<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 (const Array &drifts, const Math::Matrix &covariance, Time length, Size timeSteps, SG generator)
 MultiPathGenerator (const Array &drifts, const Math::Matrix &covariance, const TimeGrid &timeGrid, SG generator)
const sample_type & next () const
const sample_type & antithetic () const


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

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