Re: Brownian bridge newbie question
Posted by camillo-2 on Feb 23, 2009; 7:12pm
URL: http://quantlib.414.s1.nabble.com/Brownian-bridge-newbie-question-tp7192p7194.html
Hi Bojan
thx for your quick response, now my brownian bridges behave like i expected them to do. Once catching the idea it appears quite natural to use the first entry as a slope for the bridge, however this was not obvious to me prior to your hint; especially this also answers the follow-up question how to create a BB with given start and end-point, not necessarily having same y-value.
imho it would be a good idea to include your code with the docs / samples shipped with quantlib
best wishes
camillo
URL: http://quantlib.414.s1.nabble.com/Brownian-bridge-newbie-question-tp7192p7194.html
Hi Bojan
thx for your quick response, now my brownian bridges behave like i expected them to do. Once catching the idea it appears quite natural to use the first entry as a slope for the bridge, however this was not obvious to me prior to your hint; especially this also answers the follow-up question how to create a BB with given start and end-point, not necessarily having same y-value.
imho it would be a good idea to include your code with the docs / samples shipped with quantlib
best wishes
camillo
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