BrownianBridge and RandomSequenceGenerator

Posted by Sylvain Bertrand on
URL: http://quantlib.414.s1.nabble.com/BrownianBridge-and-RandomSequenceGenerator-tp5797.html

Hi everyone,

As I'm trying to generate a brownian bridge, I'm looking for the most efficient way to get the ouput.

If I'm not mistaken, it is not possible to get an iterator on the RandomSequenceGenerator, which means that I'd have to generate my random numbers and then pass them to the bridge via the transform function from the BrownianBridge class.

Can someone confirm that's the proper way to do it?

Thanks.


Sylvain

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