1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: BrownianBridge Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_brownian_bridge.html">BrownianBridge</a></div>
<h1>BrownianBridge Class Reference<br>
<small>
[<a class="el" href="group__mcarlo.html">Monte Carlo framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::BrownianBridge" --><code>#include <ql/methods/montecarlo/brownianbridge.hpp></code>
<p>
<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>
Builds Wiener process paths using Gaussian variates.
<p>
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. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Brownian-bridge constructor</h2></td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="841faffc84d2230f21744c241b9fc77c"></a><!-- doxytag: member="QuantLib::BrownianBridge::transform" ref="841faffc84d2230f21744c241b9fc77c" args="(RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const " -->
template<class RandomAccessIterator1, class RandomAccessIterator2> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>transform</b> (RandomAccessIterator1 begin, RandomAccessIterator1 end, RandomAccessIterator2 output) const </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="a358622cc01bb34c683b20349df9bf72"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="a358622cc01bb34c683b20349df9bf72" args="(Size steps)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#a358622cc01bb34c683b20349df9bf72">BrownianBridge</a> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> steps)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">unit-time path <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#e5cedbfa759d6a0f2748422b60d0539c">BrownianBridge</a> (const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &times)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">generic times <a href="#e5cedbfa759d6a0f2748422b60d0539c"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="904c629dba6743d9c82df7755f7d9c9e"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="904c629dba6743d9c82df7755f7d9c9e" args="(const TimeGrid &timeGrid)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html#904c629dba6743d9c82df7755f7d9c9e">BrownianBridge</a> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">generic times <br></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="9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::BrownianBridge::size" ref="9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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="a338cfa77dc3c8dc467f4225459094fd"></a><!-- doxytag: member="QuantLib::BrownianBridge::times" ref="a338cfa77dc3c8dc467f4225459094fd" args="() const " -->
const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>times</b> () const </td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="e5cedbfa759d6a0f2748422b60d0539c"></a><!-- doxytag: member="QuantLib::BrownianBridge::BrownianBridge" ref="e5cedbfa759d6a0f2748422b60d0539c" args="(const std::vector< Time > &times)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_brownian_bridge.html">BrownianBridge</a> </td>
<td>(</td>
<td class="paramtype">const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td>
<td class="paramname"> <em>times</em> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
generic times
<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>the starting time of the path is assumed to be 0 and must not be included </dd></dl>
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
