Documentation patch for the Brownian bridge path

[Bojan Nikolic]

Attached is a short patch that should make it clearer how to use the
Brownian bridge class.

Best,
Bojan


=== modified file 'ql/methods/montecarlo/brownianbridge.hpp'
--- ql/methods/montecarlo/brownianbridge.hpp 2007-10-26 13:58:31 +0000
+++ ql/methods/montecarlo/brownianbridge.hpp 2009-02-24 19:25:56 +0000
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2003 Ferdinando Ametrano
  Copyright (C) 2006 StatPro Italia srl
+ Copyright (C) 2009 Bojan Nikolic <[hidden email]>
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -53,21 +54,54 @@
     class BrownianBridge {
       public:
         //! unit-time path
+        /*! The constructor generates the time grid so that each step
+            is of unit-time length.
+
+            \param steps The number of steps in the path
+         */
         BrownianBridge(Size steps);
         //! generic times
-        /*! \note the starting time of the path is assumed to be 0
-                  and must not be included
+        /*! The step times are copied from the supplied vector
+          
+            \param times Vector containing the times at which the
+            steps occur. This also defines the number of steps that
+            can be generated.
+
+            \note the starting time of the path is assumed to be 0 and
+            must not be included
         */
         BrownianBridge(const std::vector<Time>& times);
         //! generic times
+        /*! The step times are copied from the TimeGrid object
+          
+            \param timeGrid containts the times at which the steps
+            occur
+         */
         BrownianBridge(const TimeGrid& timeGrid);
         //! \name inspectors
         //@{
         Size size() const;
         const std::vector<Time>& times() const;
         //@}
-        //! \name Brownian-bridge constructor
-        //@{
+
+        //! \name Brownian-bridge generator function
+        /*! Transforms an input sequence of variates into a sequence
+            of variations in a Brownian bridge path.
+            
+            \param begin, end define the input sequence. The first
+            element of this sequence defines the slope of the whole
+            Brownian bridge. The rest of the elements of the sequence
+            are Gaussain random numbers.
+
+            \param output defines the output sequence
+
+            \note To get the connonical Brownian bridge which starts
+            and finishes at the same value, the first element of input
+            sequence must be zero. Conversly 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).
+        */
         template <class RandomAccessIterator1,
                   class RandomAccessIterator2>
         void transform(RandomAccessIterator1 begin,




--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

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[Luigi Ballabio]

On Wed, 2009-02-25 at 08:05 +0000, Bojan Nikolic wrote:
> Attached is a short patch that should make it clearer how to use the
> Brownian bridge class.

Applied, thanks.

Luigi


--

Cogito ergo I'm right and you're wrong.
-- Blair Houghton



------------------------------------------------------------------------------
Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA
-OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise
-Strategies to boost innovation and cut costs with open source participation
-Receive a $600 discount off the registration fee with the source code: SFAD
http://p.sf.net/sfu/XcvMzF8H
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev