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.
note To get the canonical Brownian bridge which starts
and finishes at the same value, the first element of
the input sequence must be zero. Conversely, to get
a sloped bridge set the first element to a non-zero
value. In this case, the final value in the bridge
will be sqrt(last time point)*(first element of
input sequence).
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.