Posted by
Bojan Nikolic on
Feb 25, 2009; 8:05am
URL: http://quantlib.414.s1.nabble.com/Documentation-patch-for-the-Brownian-bridge-path-tp12647.html
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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