Browian bridge. More...
#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Classes | |
class | BrownianBridge |
Builds Wiener process paths using Gaussian variates. More... |
Browian bridge.