brownianbridgepathinterpolator.hpp File Reference

brownian bridge path interpolator More...

#include <qle/math/randomvariable.hpp>

Functions
void	interpolateVariatesWithBrownianBridge (const std::vector< QuantLib::Real > &times, std::vector< std::vector< QuantExt::RandomVariable >> &variates, const Size seed)

Detailed Description

brownian bridge path interpolator

Function Documentation

interpolateVariatesWithBrownianBridge()

void QuantExt::interpolateVariatesWithBrownianBridge	(	const std::vector< QuantLib::Real > &	times,
		std::vector< std::vector< QuantExt::RandomVariable >> &	variates,
		const Size	seed
	)

Input is

• a vector of ascending times 0 < t1 < t2 < ... < tn
• for a subset of these times a d-vector of N(0,1) variates that can be used to evolve a stochastic process of dimension d on this subset of the given times, this subset is required to be non-empty

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.