QuantLib 0.3.7
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Reference manual
MultiPathGenerator Class Template Reference
[Monte Carlo framework]
#include <ql/MonteCarlo/multipathgenerator.hpp>
Detailed Description
template<class GSG>
class QuantLib::MultiPathGenerator< GSG >
Generates a multipath from a random number generator.
RSG is a sample generator which returns a random sequence. It must have the minimal interface:
RSG { Sample<Array> next(); };
- Todo:
- why store correlation matrix rather than covariance?
Public Types | |
| typedef Sample< MultiPath > | sample_type |
Public Member Functions | |
| MultiPathGenerator (const std::vector< boost::shared_ptr< StochasticProcess > > &diffusionProcs, const Matrix &correlation, const TimeGrid &timeGrid, GSG generator, bool brownianBridge) | |
| const sample_type & | next () const |
| const sample_type & | antithetic () const |
