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();
};
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Public Types |
typedef Sample< MultiPath > | sample_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 ×, long seed=0) |
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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