BrownianBridge Class Reference

Builds Wiener process paths using Gaussian variates. More...

#include <ql/methods/montecarlo/brownianbridge.hpp>

Public Member Functions
	BrownianBridge (Size steps)
	BrownianBridge (const std::vector< Time > &times)
	BrownianBridge (const TimeGrid &timeGrid)

inspectors
Size	size () const
const std::vector< Time > &	times () const
const std::vector< Size > &	bridgeIndex () const
const std::vector< Size > &	leftIndex () const
const std::vector< Size > &	rightIndex () const
const std::vector< Real > &	leftWeight () const
const std::vector< Real > &	rightWeight () const
const std::vector< Real > &	stdDeviation () const
template<class RandomAccessIterator1 , class RandomAccessIterator2 >
void	transform (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const
	Brownian-bridge generator function. More...

Detailed Description

Builds Wiener process paths using Gaussian variates.

This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain the actual path of the underlying, the returned variations must be multiplied by the integrated variance (including time) over the corresponding time step.

Constructor & Destructor Documentation

BrownianBridge() [1/3]

BrownianBridge

(

Size

steps

)

The constructor generates the time grid so that each step is of unit-time length.

Parameters

steps

The number of steps in the path

BrownianBridge() [2/3]

BrownianBridge

(

const std::vector< Time > &

times

)

The step times are copied from the supplied vector

Parameters

times

A vector containing the times at which the steps occur. This also defines the number of steps that will be generated.

Note

the starting time of the path is assumed to be 0 and must not be included

BrownianBridge() [3/3]

BrownianBridge

(

const TimeGrid &

timeGrid

)

The step times are copied from the TimeGrid object

Parameters

timeGrid

a time grid containing the times at which the steps will occur

Member Function Documentation

transform()

void transform	(	RandomAccessIterator1	begin,
		RandomAccessIterator1	end,
		RandomAccessIterator2	output
	)		const

Brownian-bridge generator function.

Transforms an input sequence of random variates into a sequence of variations in a Brownian bridge path.

Parameters

begin	The start iterator of the input sequence.
end	The end iterator of the input sequence.
output	The start iterator of the output sequence.

Note

To get the canonical Brownian bridge which starts and finishes at the same value, the first element of the input sequence must be zero. Conversely, to get a sloped bridge set the first element to a non-zero value. In this case, the final value in the bridge will be sqrt(last time point)*(first element of input sequence).