#include <ql/MonteCarlo/brownianbridge.hpp>
List of all members.
Detailed Description
template<class GSG>
class QuantLib::BrownianBridge< GSG >
Builds Wiener process paths using Gaussian variates.
For more details: "Monte Carlo Methods in Finance" by P. Jäckel, section 10.8.3
- Note:
- this class does not work if the diffusion term of the underlying stochastic process is asset-dependent.
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Public Types |
typedef Sample< std::vector<
Real > > | sample_type |
Public Member Functions |
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| BrownianBridge (const GSG &generator) |
| | normalised (unit time, unit variance) Wiener process paths
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| BrownianBridge (Time length, Size timeSteps, const GSG &generator) |
| | unit variance Wiener process paths
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| BrownianBridge (const TimeGrid &timeGrid, const GSG &generator) |
| | unit variance Wiener process paths
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| BrownianBridge (const std::vector< Real > &sigma, const TimeGrid &timeGrid, const GSG &generator) |
| | general Wiener process paths
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| BrownianBridge (const boost::shared_ptr< BlackVolTermStructure > &, const TimeGrid &timeGrid, const GSG &generator) |
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| BrownianBridge (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator) |
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const sample_type & | next () const |
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const sample_type & | last () const |
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Size | size () const |
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const TimeGrid & | timeGrid () const |
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