QuantLib_IsotropicRandomWalk man page

IsotropicRandomWalk< Distribution, Engine > — Isotropic random walk.  


#include <ql/experimental/math/isotropicrandomwalk.hpp>

Public Types

typedef boost::variate_generator< Engine, Distribution > VariateGenerator

Public Member Functions

IsotropicRandomWalk (Engine eng, Distribution dist, Size dim, const Array &weights=Array(), unsigned long seed=0)
template<class InputIterator > void nextReal (InputIterator first) const
void setDimension (Size dim)
void setDimension (Size dim, const Array &weights)
void setDimension (Size dim, const Array &lowerBound, const Array &upperBound)

Protected Attributes

VariateGenerator variate_
MersenneTwisterUniformRng rng_
Array weights_
Size dim_

Detailed Description

template<class Distribution, class Engine>

class QuantLib::IsotropicRandomWalk< Distribution, Engine >" Isotropic random walk.

A variate is used to draw from a random element of a probability distribution. The draw corresponds to the radius of a d-dimensional sphere. The position on the surface of the d-dimensional sphere is randomly chosen with all points on the surface having the same probability, i.e. all directions are isotropic and the step is randomly drawn from the given variate.


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Referenced By

dim_(3), IsotropicRandomWalk(3), nextReal(3), rng_(3), setDimension(3), variate_(3), VariateGenerator(3) and weights_(3) are aliases of QuantLib_IsotropicRandomWalk(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib