Generates random paths using a sequence generator. More...
#include <ql/methods/montecarlo/pathgenerator.hpp>
Public Types | |
| typedef Sample< Path > | sample_type |
Public Member Functions | |
| PathGenerator (const ext::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge) | |
| PathGenerator (const ext::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge) | |
inspectors | |
| const sample_type & | next () const |
| const sample_type & | antithetic () const |
| Size | size () const |
| const TimeGrid & | timeGrid () const |
Generates random paths using a sequence generator.
Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator