**C++ Wrapper Code :** I am trying to build C++ CLR wrapper so that it can be used in other C++ code.
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public:void CallingBrownianManagedCode()
{
int numPaths = 100;
int dimension = 3;
int time = 30;
int seed = 1;
double covMatrix2[3][3] = { { 1.0, 0.0, 0.0 },
{ 0.0, 1.0, 0.0 }
{ 0.0, 0.0, 1.0 } };
double stepSize = 1.0 / 12.0;
std::string generator = "Sobol";
int scrambling = 0;
**Need to Define** paths;
paths = IDevModel::RandomNumberGenerator::BrownianBridge(numPaths, dimension, time, seed, covMatrix2, stepSize, generator, scrambling);
return;
}
};
}
Can you please help me out how to grab the output from the BrownianBridge in C++?. Should I use vector or Mutlidimensional array? Am I declaring the variable double covMatrix2[][][] in C++ correctly?
I am new to C++, so pardon me for mistakes. I appreciate if you can please help me out. Any synopsis code would be helpful.
Declaration:
public static object BrownianBridge([int numPaths = 500], [int dimension = 1], [double time = 30], [int seed = 1], [double[,] covMatrix = null], [double stepSize = 0.0833333], [string generator = "Sobol"], [int scrambling = 1])
Member of IDevModel.RandomNumberGenerator