QuantLib: MultiPathGenerator< GSG > Class Template Reference

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 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();
};