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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_brownian_bridge.html">BrownianBridge</a></div>
<h1>BrownianBridge Class Template Reference<br>
<small>
[<a class="el" href="group__mcarlo.html">Monte Carlo framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::BrownianBridge" --><code>#include <ql/MonteCarlo/brownianbridge.hpp></code>
<p>
<a href="class_quant_lib_1_1_brownian_bridge-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class GSG><br>
class QuantLib::BrownianBridge< GSG ></h3>
Builds Wiener process paths using Gaussian variates.
<p>
For more details: "Monte Carlo Methods in Finance" by P. Jckel, section 10.8.3<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>this class does not work if the diffusion term of the underlying stochastic process is asset-dependent. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3b59a3dd56521693efc68c221a2bf38"></a><!-- doxytag: member="QuantLib::BrownianBridge::sample_type" ref="f3b59a3dd56521693efc68c221a2bf38" args="" -->
typedef <a class="el" href="struct_quant_lib_1_1_sample.html">Sample</a>< std::vector<<br>
Real > > </td><td class="memItemRight" valign="bottom"><b>sample_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="291782e97ae2b76f036ad5350aa749fe"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="291782e97ae2b76f036ad5350aa749fe" args="(const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#291782e97ae2b76f036ad5350aa749fe">BrownianBridge</a> (const GSG &generator)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">normalised (unit time, unit variance) Wiener process paths <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="820ebd8106f528fccbfe67771ea64554"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="820ebd8106f528fccbfe67771ea64554" args="(Time length, Size timeSteps, const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#820ebd8106f528fccbfe67771ea64554">BrownianBridge</a> (Time length, Size timeSteps, const GSG &generator)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">unit variance Wiener process paths <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="850c7a378d1bdda338344fe4122f02ef"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="850c7a378d1bdda338344fe4122f02ef" args="(const TimeGrid &timeGrid, const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#850c7a378d1bdda338344fe4122f02ef">BrownianBridge</a> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, const GSG &generator)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">unit variance Wiener process paths <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="71b8b7cdf8efb2630321077691b658cf"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="71b8b7cdf8efb2630321077691b658cf" args="(const std::vector< Real > &sigma, const TimeGrid &timeGrid, const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#71b8b7cdf8efb2630321077691b658cf">BrownianBridge</a> (const std::vector< Real > &sigma, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, const GSG &generator)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">general Wiener process paths <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd3e20995d709475abe81cbc8d6d6971"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="dd3e20995d709475abe81cbc8d6d6971" args="(const boost::shared_ptr< BlackVolTermStructure > &, const TimeGrid &timeGrid, const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><b>BrownianBridge</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, const GSG &generator)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="981396225fe834f1128525a46ed8386b"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="981396225fe834f1128525a46ed8386b" args="(const boost::shared_ptr< StochasticProcess1D > &, const TimeGrid &timeGrid, const GSG &generator)" -->
</td><td class="memItemRight" valign="bottom"><b>BrownianBridge</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, const GSG &generator)</td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f8fc72c89108aba96cd11e07cae01194"></a><!-- doxytag: member="QuantLib::BrownianBridge::next" ref="f8fc72c89108aba96cd11e07cae01194" args="() const" -->
const sample_type & </td><td class="memItemRight" valign="bottom"><b>next</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8dc1eb733716245f966130f64c9b3847"></a><!-- doxytag: member="QuantLib::BrownianBridge::last" ref="8dc1eb733716245f966130f64c9b3847" args="() const" -->
const sample_type & </td><td class="memItemRight" valign="bottom"><b>last</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cce0ab2cacc475b2434f24c65c91685a"></a><!-- doxytag: member="QuantLib::BrownianBridge::size" ref="cce0ab2cacc475b2434f24c65c91685a" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1b4f3ee63c7fc18845e10236dd5df8d"></a><!-- doxytag: member="QuantLib::BrownianBridge::timeGrid" ref="b1b4f3ee63c7fc18845e10236dd5df8d" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
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