QuantLib_IsotropicRandomWalk man page

IsotropicRandomWalk< Distribution, Engine > — Isotropic random walk.

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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 Sep 23 2016 Version 1.8.1 QuantLib