ProjectedBufferedMultiPathGenerator Class Reference

Inheritance diagram for ProjectedBufferedMultiPathGenerator:

Public Member Functions
	ProjectedBufferedMultiPathGenerator (const std::vector< Size > &stateProcessProjection, const QuantLib::ext::shared_ptr< std::vector< std::vector< QuantLib::Path > > > &bufferedPaths)
const Sample< MultiPath > &	next () const override
void	reset () override
const TimeGrid &	timeGrid () const override

Constructor & Destructor Documentation

ProjectedBufferedMultiPathGenerator()

ProjectedBufferedMultiPathGenerator	(	const std::vector< Size > &	stateProcessProjection,
		const QuantLib::ext::shared_ptr< std::vector< std::vector< QuantLib::Path > > > &	bufferedPaths )

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.

Member Function Documentation

next()

const Sample< MultiPath > & next ( ) const

overridevirtual

Implements MultiPathGeneratorBase.

reset()

void reset ( )

overridevirtual

Implements MultiPathGeneratorBase.

timeGrid()

const TimeGrid & timeGrid ( ) const

overridevirtual

Implements MultiPathGeneratorBase.