PathGenerator< GSG > Class Template Reference

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

Detailed Description

template<class GSG>
class QuantLib::PathGenerator< GSG >

Generates random paths using a sequence generator.

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator

Tests:

the generated paths are checked against cached results

Examples

DiscreteHedging.cpp.