Class PathGenerator

Generates random paths using a sequence generator

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

test the generated paths are checked against cached results

Hierarchy

PathGenerator

Index

Type aliases

sample_type

Properties

Methods

Type aliases

Static sample_type

sample_type: Sample<Path>

Properties

Private _bb

_bb: BrownianBridge

Private _brownianBridge

_brownianBridge: boolean

Private _dimension

_dimension: Size

Private _generator

_generator: USG<Real[]>

Private _next

_next: sample_type

Private _process

_process: StochasticProcess1D

Private _temp

_temp: Real[]

Private _timeGrid

_timeGrid: TimeGrid

Methods

antithetic

antithetic(): sample_type

- Defined in ql/methods/montecarlo/pathgenerator.ts:74
Returns sample_type

init1

init1(process: StochasticProcess, length: Time, timeSteps: Size, generator: USG<Real[]>, brownianBridge: boolean): PathGenerator

- Defined in ql/methods/montecarlo/pathgenerator.ts:29
Parameters
- process: StochasticProcess
- length: Time
- timeSteps: Size
- generator: USG<Real[]>
- brownianBridge: boolean
Returns PathGenerator

init2

init2(process: StochasticProcess, timeGrid: TimeGrid, generator: USG<Real[]>, brownianBridge: boolean): PathGenerator

- Defined in ql/methods/montecarlo/pathgenerator.ts:50
Parameters
- process: StochasticProcess
- timeGrid: TimeGrid
- generator: USG<Real[]>
- brownianBridge: boolean
Returns PathGenerator

next

next(): sample_type

- Defined in ql/methods/montecarlo/pathgenerator.ts:70
Returns sample_type

Private next_

next_(antithetic: boolean): sample_type

- Defined in ql/methods/montecarlo/pathgenerator.ts:86
Parameters
- antithetic: boolean
Returns sample_type

size

size(): Size

- Defined in ql/methods/montecarlo/pathgenerator.ts:78
Returns Size

timeGrid

timeGrid(): TimeGrid

- Defined in ql/methods/montecarlo/pathgenerator.ts:82
Returns TimeGrid