PathGenerator Class Template Reference

#include <pathgenerator.hpp>

List of all members.


Detailed Description

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

Generates random paths using a sequence generator.

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


Public Types

typedef Sample< Pathsample_type

Public Member Functions

 PathGenerator (const Handle< DiffusionProcess > &diffProcess, Time length, Size timeSteps, const SG &generator)
 PathGenerator (const Handle< DiffusionProcess > &diffProcess, const TimeGrid &timeGrid, const SG &generator)
inspectors
const sample_type & next () const
const sample_type & antithetic () const
Size size () const
const TimeGridtimeGrid () const


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

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