QuantLib_InverseCumulativeRsg man page

InverseCumulativeRsg< USG, IC > — Inverse cumulative random sequence generator.  


#include <ql/math/randomnumbers/inversecumulativersg.hpp>

Public Types

typedef Sample< std::vector< Real > > sample_type

Public Member Functions

InverseCumulativeRsg (const USG &uniformSequenceGenerator)
InverseCumulativeRsg (const USG &uniformSequenceGenerator, const IC &inverseCumulative)
const sample_type & nextSequence () const
returns next sample from the inverse cumulative distribution
const sample_type & lastSequence () const
Size dimension () const

Detailed Description

template<class USG, class IC>

class QuantLib::InverseCumulativeRsg< USG, IC >" Inverse cumulative random sequence generator.

It uses a sequence of uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.

The uniform deviate sequence is supplied by USG.

Class USG must implement the following interface:

USG::sample_type USG::nextSequence() const;
Size USG::dimension() const;

The inverse cumulative distribution is supplied by IC.

Class IC must implement the following interface:

Real IC::operator() const;

Examples: DiscreteHedging.cpp.


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Referenced By

InverseCumulativeRsg(3) is an alias of QuantLib_InverseCumulativeRsg(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib