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MonteCarloLiborDriver Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for MonteCarloLiborDriver:

StochasticGenerator List of all members.

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

Constructor & Destructor Documentation

MonteCarloLiborDriver::MonteCarloLiborDriver int    n [inline]

Definition at line 170 of file StochasticGenerator.h.

References StochasticGenerator::n.

Member Function Documentation

void MonteCarloLiborDriver::newWienerIncrements int    t,
int    T,
UTRRealMatrix   Z

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.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3