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MonteCarloLiborDriver Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for MonteCarloLiborDriver:

List of all members.

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Detailed Description

Stochastic generator for a LiborProcess based on the Mersenne Twister.

Definition at line 166 of file StochasticGenerator.h.

Public Member Functions
	MonteCarloLiborDriver (int n)
void	newWienerIncrements (int t, int T, UTRRealMatrix &Z)
std::ostream &	printSelf (std::ostream &os) const

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Constructor & Destructor Documentation

MonteCarloLiborDriver::MonteCarloLiborDriver (  int    n )  [inline]

Definition at line 170 of file StochasticGenerator.h. References StochasticGenerator::n.

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Member Function Documentation

void MonteCarloLiborDriver::newWienerIncrements (  int    t, int    T, UTRRealMatrix &    Z )  [virtual]

Writes standard normal deviates needed to drive a Libor path simulation from discrete time t to discrete time T into the upper triangular matrix Z. Z must have zero based indices. Reimplemented from StochasticGenerator.

std::ostream& MonteCarloLiborDriver::printSelf (  std::ostream &    os )  const [virtual]

String identifying the generator. Reimplemented from StochasticGenerator.

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The documentation for this class was generated from the following file:

• StochasticGenerator.h

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