Browian bridge. More...
#include <ql/methods/montecarlo/path.hpp>#include <ql/methods/montecarlo/sample.hpp>#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Classes | |
| class | BrownianBridge |
| Builds Wiener process paths using Gaussian variates. More... | |
Browian bridge.