Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/BrownianBridge-and-RandomSequenceGenerator-tp5797p5798.html
On Sun, 2008-05-18 at 14:41 -0400, Sylvain Bertrand wrote:
> 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?
Correct---you'll have to extract random values from a random-sequence
generator with nextSequence() and use transform(). You can see an
example of this in the PathGenerator class.
Luigi
--
Innovation is hard to schedule.
-- Dan Fylstra
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