QuantLib: MultiPathGenerator< GSG > Class Template Reference (original) (raw)

Generates a multipath from a random number generator. More...

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

Public Types
typedef Sample< MultiPath > sample_type
Public Member Functions
MultiPathGenerator (const ext::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)
const sample_type & next () const
const sample_type & antithetic () const

Detailed Description

template
class QuantLib::MultiPathGenerator< GSG >

Generates a multipath from a random number generator.

RSG is a sample generator which returns a random sequence. It must have the minimal interface:

RSG {

Sample next();

};

Tests

the generated paths are checked against cached results