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brownianbridge.hpp File Reference


Detailed Description

Browian bridge.

Definition in file brownianbridge.hpp.

#include <ql/MonteCarlo/path.hpp>
#include <ql/MonteCarlo/sample.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/voltermstructure.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::BrownianBridge< GSG >
 Builds Wiener process paths using Gaussian variates. More...


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