MultiPathGenerator Class Template Reference#include <ql/MonteCarlo/multipathgenerator.hpp>
List of all members.
Detailed Description
template<class GSG>
class QuantLib::MultiPathGenerator< GSG >
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();
};
- Todo:
- why store correlation Matrix rather than covariance?
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Public Types |
typedef Sample< MultiPath > | sample_type |
Public Member Functions |
| MultiPathGenerator (const std::vector< Handle< DiffusionProcess > > &diffusionProcs, const Matrix &correlation, const TimeGrid &timeGrid, GSG generator, bool brownianBridge) |
const sample_type & | next () const |
const sample_type & | antithetic () const |
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