QuantLib_LatentModel_FactorSampler man page
LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >
typedef Sample< std::vector< Real > > sample_type
Public Member Functions
FactorSampler (const copulaType &copula, BigNatural seed=0)
const sample_type & nextSequence () const
template<class USNG, bool = true>
class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >" Allows generation or random samples of the latent variable.
Generates samples of all the factors in the latent model according to the given copula as random sequence. The default implementation given uses the inversion in the copula policy (which must be present). USNG is expected to be a uniform sequence generator in the default implementation.
Member Function Documentation
const sample_type& nextSequence () const
Returns a sample of the factor set $ M_kZ_i$. This method has the vocation of being specialized at particular types of the copula with a more efficient inversion to generate the random variables modelled (e.g. Box-Muller for a gaussian). Here a default implementation is provided based directly on the inversion of the cumulative distribution from the copula. Care has to be taken in potential specializations that the generator algorithm is compatible with an eventual concurrence of the simulations.
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The man page FactorSampler(3) is an alias of QuantLib_LatentModel_FactorSampler(3).