ProjectedVariateMultiPathGenerator Class Reference

Inheritance diagram for ProjectedVariateMultiPathGenerator:

Public Member Functions
	ProjectedVariateMultiPathGenerator (const QuantLib::ext::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const std::vector< Size > &stateProcessProjection, const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &variateGenerator)
const Sample< MultiPath > &	next () const override
void	reset () override

Constructor & Destructor Documentation

ProjectedVariateMultiPathGenerator()

ProjectedVariateMultiPathGenerator	(	const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	timeGrid,
		const std::vector< Size > &	stateProcessProjection,
		const QuantLib::ext::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.