org.jquantlib.methods.montecarlo

Class PathGenerator<RNG extends RandomNumberGenerator,GSG extends RandomSequenceGeneratorIntf>

java.lang.Object

org.jquantlib.methods.montecarlo.PathGenerator<RNG,GSG>

public class PathGenerator<RNG extends RandomNumberGenerator,GSG extends RandomSequenceGeneratorIntf>
extends java.lang.Object

Generates random paths using a sequence generator

Generates random paths with drift(S,t) and variance(S,t) using a gaussian sequence generator

Constructor Summary

Constructors

Constructor and Description
PathGenerator(StochasticProcess1D process, double length, int timeSteps, GSG generator, boolean brownianBridge)
PathGenerator(StochasticProcess1D process, TimeGrid timeGrid, GSG generator, boolean brownianBridge)

Method Summary

Modifier and Type	Method and Description
Sample<Path>	antithetic()
Sample<Path>	next(boolean antithetic)

Methods inherited from class java.lang.Object

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

Constructor Detail

PathGenerator

public PathGenerator(StochasticProcess1D process,
                     double length,
                     int timeSteps,
                     GSG generator,
                     boolean brownianBridge)

PathGenerator

public PathGenerator(StochasticProcess1D process,
                     TimeGrid timeGrid,
                     GSG generator,
                     boolean brownianBridge)

Method Detail

antithetic

public final Sample<Path> antithetic()

next

public final Sample<Path> next(boolean antithetic)