QuantLib_SobolBrownianGenerator man page

SobolBrownianGenerator — Sobol Brownian generator for market-model simulations.

Synopsis

#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>

Inherits BrownianGenerator.

Public Types

enum Ordering { Factors, Steps, Diagonal }

Public Member Functions

SobolBrownianGenerator (Size factors, Size steps, Ordering ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel)

Real nextPath ()

Real nextStep (std::vector< Real > &)

Size numberOfFactors () const

Size numberOfSteps () const

const std::vector< std::vector< Size > > & orderedIndices () const

std::vector< std::vector< Real > > transform (const std::vector< std::vector< Real > > &variates)

Detailed Description

Sobol Brownian generator for market-model simulations.

Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.

Member Enumeration Documentation

enum Ordering

Enumerator

Factors
The variates with the best quality will be used for the evolution of the first factor.
Steps
The variates with the best quality will be used for the largest steps of all factors.
Diagonal
A diagonal schema will be used to assign the variates with the best quality to the most important factors and the largest steps.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Diagonal(3), Factors(3), orderedIndices(3), Ordering(3), SobolBrownianGenerator(3) and Steps(3) are aliases of QuantLib_SobolBrownianGenerator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib