Posted by
Bojan Nikolic on
Feb 24, 2009; 8:05am
URL: http://quantlib.414.s1.nabble.com/Brownian-bridge-newbie-question-tp7192p7195.html
If you are creating bridges with a non-zero slope, note that the last
y-value is going the be input_variate[0]*sqrt(last_time). If you
didn't supply the time parameter when creating the bridge class it
will be equal to the number of points in the bridge.
I.e., if you have a 100 point bridge and input_variate[0]=0.5 then the
last y-value is going to be 5.
If somebody wants to commit the code from the web-page to the
repository, they are welcome to do so under the usual QuantLib
license.
Best,
Bojan
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