ql/methods/montecarlo/brownianbridge.hpp File Reference

Browian bridge. More...

#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Include dependency graph for brownianbridge.hpp:

Classes

class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...

Detailed Description

Browian bridge.