brownian bridge path interpolator More...
#include <qle/math/randomvariable.hpp>
Functions | |
void | interpolateVariatesWithBrownianBridge (const std::vector< QuantLib::Real > ×, std::vector< std::vector< QuantExt::RandomVariable >> &variates, const Size seed) |
brownian bridge path interpolator
void QuantExt::interpolateVariatesWithBrownianBridge | ( | const std::vector< QuantLib::Real > & | times, |
std::vector< std::vector< QuantExt::RandomVariable >> & | variates, | ||
const Size | seed | ||
) |
Input is
Here, the outer vector of the input variable variates refers to the times and the inner vector contains d random variables. The components of the random variables correspond to the monte carlo pathts. For times where initially no variates are given, the inner vector should be empty.
After the function call, the variates vector contains N(0,1) variates for all times. These variates can be used to evolve the same stochastic process, but on the full time grid. The missing variates are interpolated using a brownian bridge.