org.jquantlib.methods.montecarlo

Class BrownianBridge

java.lang.Object

org.jquantlib.methods.montecarlo.BrownianBridge

public class BrownianBridge
extends java.lang.Object

Builds Wiener process paths using Gaussian variates

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.

Constructor Summary

Constructors

Constructor and Description
BrownianBridge(double[] times) generic times
BrownianBridge(int steps) unit-time path
BrownianBridge(TimeGrid timeGrid) generic times

Method Summary

Modifier and Type	Method and Description
int	size()
double[]	times()
void	transform(double[] input, double[] output) Brownian-bridge constructor

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BrownianBridge

public BrownianBridge(int steps)

unit-time path

Parameters:

steps -

BrownianBridge

public BrownianBridge(double[] times)

generic times

Parameters:

times -

BrownianBridge

public BrownianBridge(TimeGrid timeGrid)

generic times

Parameters:

timeGrid -

Method Detail

size

public int size()

times

public final double[] times()

transform

public void transform(double[] input,
                      double[] output)

Brownian-bridge constructor