MultiPathGenerator_old Class Template Reference

#include <ql/MonteCarlo/multipathgenerator.hpp>

List of all members.


Detailed Description

template<class RAG>
class QuantLib::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 Matrix &covariance, Time length, Size timeSteps, long seed)
 MultiPathGenerator_old (const Array &drifts, const Matrix &covariance, const TimeGrid &times, long seed=0)
const sample_type & next () const
const sample_type & antithetic () const


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