QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
MultiPath Class Reference
#include <ql/MonteCarlo/multipath.hpp>
Detailed Description
multiple random walkMultiPath contains the list of variations for each asset,
![\[ \log \frac{Y^j_{i+1}}{Y^j_i} \mathrm{for} i = 0, \ldots, n-1 \qquad \mathrm{and} \qquad j = 0, \ldots, m-1 \]](form_200.png)
where 
is the value of the underlying 
at discretized time 
. The first index refers to the underlying, the second to the time position MultiPath[j,i]
- Todo:
- a) make it time-aware b) rename it as MultiAssetPath
Public Member Functions | |
| MultiPath (Size nAsset, const TimeGrid &timeGrid) | |
| MultiPath (const std::vector< Path > &multiPath) | |
inspectors | |
| Size | assetNumber () const |
| Size | pathSize () const |
read/write access to components | |
| const Path & | operator[] (Size j) const |
| Path & | operator[] (Size j) |
