Public Member Functions | |
ProjectedVariateMultiPathGenerator (const boost::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const std::vector< Size > &stateProcessProjection, const boost::shared_ptr< MultiPathVariateGeneratorBase > &variateGenerator) | |
const Sample< MultiPath > & | next () const override |
void | reset () override |
ProjectedVariateMultiPathGenerator | ( | const boost::shared_ptr< StochasticProcess > & | process, |
const TimeGrid & | timeGrid, | ||
const std::vector< Size > & | stateProcessProjection, | ||
const boost::shared_ptr< MultiPathVariateGeneratorBase > & | variateGenerator | ||
) |
If projection(j) = i for state process indices i from the projected process and j from the original process, then stateProcessProjection[i] = j, i.e. a state process component index from the projected model is mapped to the state process component index of the original model.