QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Types | Public Member Functions | List of all members
MultiPathGenerator< GSG > Class Template Reference

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

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

Public Types

typedef Sample< MultiPathsample_type
 

Public Member Functions

 MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false)
 
const sample_typenext () const
 
const sample_typeantithetic () const
 

Detailed Description

template<class GSG>
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<Array> next();
};
Tests:
the generated paths are checked against cached results