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
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
|
<!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>Path 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="185" height="50" 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 1.2</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="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="todo.html">Todo List</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 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_path.html">Path</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">Path Class Reference<div class="ingroups"><a class="el" href="group__mcarlo.html">Monte Carlo framework</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::Path" -->
<p>single-factor random walk
<a href="class_quant_lib_1_1_path.html#details">More...</a></p>
<p><code>#include <ql/methods/montecarlo/path.hpp></code></p>
<p><a href="class_quant_lib_1_1_path-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a97c525e0b5ef5934bbf609fa33e9bab4"></a><!-- doxytag: member="QuantLib::Path::Path" ref="a97c525e0b5ef5934bbf609fa33e9bab4" args="(const TimeGrid &timeGrid, const Array &values=Array())" -->
 </td><td class="memItemRight" valign="bottom"><b>Path</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &<a class="el" href="class_quant_lib_1_1_path.html#a6726e8faccac2e47434227100ca52e60">timeGrid</a>, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &values=<a class="el" href="class_quant_lib_1_1_array.html">Array</a>())</td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac6e61de369e994009e36f344f99c15ad"></a><!-- doxytag: member="QuantLib::Path::empty" ref="ac6e61de369e994009e36f344f99c15ad" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>empty</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0004e5f7457adee64d3a05ee24509aaa"></a><!-- doxytag: member="QuantLib::Path::length" ref="a0004e5f7457adee64d3a05ee24509aaa" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>length</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae07c86cdf4eda1646caab8017e38bfd8"></a><!-- doxytag: member="QuantLib::Path::operator[]" ref="ae07c86cdf4eda1646caab8017e38bfd8" args="(Size i) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_path.html#ae07c86cdf4eda1646caab8017e38bfd8">operator[]</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">asset value at the <img class="formulaInl" alt="$ i $" src="form_56.png"/>-th point <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa2a3b2bafacf0f06b9be120b0b100ace"></a><!-- doxytag: member="QuantLib::Path::at" ref="aa2a3b2bafacf0f06b9be120b0b100ace" args="(Size i) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>at</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a101a709206ec7812f7f95cad473a3cad"></a><!-- doxytag: member="QuantLib::Path::operator[]" ref="a101a709206ec7812f7f95cad473a3cad" args="(Size i)" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> & </td><td class="memItemRight" valign="bottom"><b>operator[]</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aef1835418a9f584646a69e5b07c1fb71"></a><!-- doxytag: member="QuantLib::Path::at" ref="aef1835418a9f584646a69e5b07c1fb71" args="(Size i)" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> & </td><td class="memItemRight" valign="bottom"><b>at</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a72ae2e219d43e0a6d8c0e16dec878bad"></a><!-- doxytag: member="QuantLib::Path::value" ref="a72ae2e219d43e0a6d8c0e16dec878bad" args="(Size i) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0fddf660c31f55b9332f76c1c9c1c63c"></a><!-- doxytag: member="QuantLib::Path::value" ref="a0fddf660c31f55b9332f76c1c9c1c63c" args="(Size i)" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> & </td><td class="memItemRight" valign="bottom"><b>value</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a91dfebfe8158f3ff280387f0c21f2a38"></a><!-- doxytag: member="QuantLib::Path::time" ref="a91dfebfe8158f3ff280387f0c21f2a38" args="(Size i) const " -->
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_path.html#a91dfebfe8158f3ff280387f0c21f2a38">time</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">time at the <img class="formulaInl" alt="$ i $" src="form_56.png"/>-th point <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adf80e67a5954b0635539898d1de0bac3"></a><!-- doxytag: member="QuantLib::Path::front" ref="adf80e67a5954b0635539898d1de0bac3" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_path.html#adf80e67a5954b0635539898d1de0bac3">front</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initial asset value <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa525610a679a070be58fbe9319306c38"></a><!-- doxytag: member="QuantLib::Path::front" ref="aa525610a679a070be58fbe9319306c38" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> & </td><td class="memItemRight" valign="bottom"><b>front</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a617738d98f10c8d121b9a738e4bb3aee"></a><!-- doxytag: member="QuantLib::Path::back" ref="a617738d98f10c8d121b9a738e4bb3aee" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_path.html#a617738d98f10c8d121b9a738e4bb3aee">back</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">final asset value <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8397a37a7d51cd9c8e8245115a5e547d"></a><!-- doxytag: member="QuantLib::Path::back" ref="a8397a37a7d51cd9c8e8245115a5e547d" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> & </td><td class="memItemRight" valign="bottom"><b>back</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6726e8faccac2e47434227100ca52e60"></a><!-- doxytag: member="QuantLib::Path::timeGrid" ref="a6726e8faccac2e47434227100ca52e60" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_path.html#a6726e8faccac2e47434227100ca52e60">timeGrid</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">time grid <br/></td></tr>
<tr><td colspan="2"><h2><a name="member-group"></a>
iterators</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7191cb1b9aebad81ba4b19e9f0abac41"></a><!-- doxytag: member="QuantLib::Path::iterator" ref="a7191cb1b9aebad81ba4b19e9f0abac41" args="" -->
typedef Array::const_iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a096f9315b4acef7a25c449ca6ea8aee9"></a><!-- doxytag: member="QuantLib::Path::reverse_iterator" ref="a096f9315b4acef7a25c449ca6ea8aee9" args="" -->
typedef <br class="typebreak"/>
Array::const_reverse_iterator </td><td class="memItemRight" valign="bottom"><b>reverse_iterator</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6b6603de814d357dc040ed01a9498d0c"></a><!-- doxytag: member="QuantLib::Path::begin" ref="a6b6603de814d357dc040ed01a9498d0c" args="() const " -->
iterator </td><td class="memItemRight" valign="bottom"><b>begin</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9c74dee2134f7940921cfe6f8180a986"></a><!-- doxytag: member="QuantLib::Path::end" ref="a9c74dee2134f7940921cfe6f8180a986" args="() const " -->
iterator </td><td class="memItemRight" valign="bottom"><b>end</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a76d1fc4c08855a94c8749e9f41649c33"></a><!-- doxytag: member="QuantLib::Path::rbegin" ref="a76d1fc4c08855a94c8749e9f41649c33" args="() const " -->
reverse_iterator </td><td class="memItemRight" valign="bottom"><b>rbegin</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aebc3be647c9dce002d454069451aba9f"></a><!-- doxytag: member="QuantLib::Path::rend" ref="aebc3be647c9dce002d454069451aba9f" args="() const " -->
reverse_iterator </td><td class="memItemRight" valign="bottom"><b>rend</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>single-factor random walk </p>
<dl class="note"><dt><b>Note:</b></dt><dd>the path includes the initial asset value as its first point. </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_discrete_hedging_8cpp-example.html#_a10">DiscreteHedging.cpp</a>.</dd>
</dl></div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
