Posted by
Bojan Nikolic on
Feb 22, 2009; 4:19pm
URL: http://quantlib.414.s1.nabble.com/Brownian-bridge-newbie-question-tp7192p7193.html
Hi Camillo,
Looking through the code (ql/methods/montecarlo/brownianbridge.cpp) I
can see that the meaning of the input sequence to the transform
function is quite tricky and probably you went wrong there. The
*first* element of this sequence controls the global slope over the
bridge process. Therefore the first element needs to be zero if you
want a classical Brownian bridge. The rest of the elements should be
normally distributed random numbers as usual.
Probably the documentation in the header files ought to be updated a
bit to reflect this.
I've posted some code and a plot @
http://www.bnikolic.co.uk/blog/ql-brownian-bridge.htmlBest,
Bojan
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