ql/RandomNumbers/rngtraits.hpp File Reference


Detailed Description

random-number generation policies

#include <ql/MonteCarlo/pathgenerator.hpp>
#include <ql/RandomNumbers/mt19937uniformrng.hpp>
#include <ql/RandomNumbers/inversecumulativerng.hpp>
#include <ql/RandomNumbers/randomsequencegenerator.hpp>
#include <ql/RandomNumbers/sobolrsg.hpp>
#include <ql/RandomNumbers/inversecumulativersg.hpp>
#include <ql/Math/normaldistribution.hpp>
#include <ql/Math/poissondistribution.hpp>

Include dependency graph for rngtraits.hpp:


Namespaces

namespace  QuantLib

Typedefs

typedef GenericPseudoRandom<
MersenneTwisterUniformRng,
InverseCumulativeNormal > 
PseudoRandom
 default traits for pseudo-random number generation
typedef GenericPseudoRandom<
MersenneTwisterUniformRng,
InverseCumulativePoisson > 
PoissonPseudoRandom
 traits for Poisson-distributed pseudo-random number generation
typedef GenericLowDiscrepancy<
SobolRsg, InverseCumulativeNormal > 
LowDiscrepancy
 default traits for low-discrepancy sequence generation

Typedef Documentation

typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativeNormal> PseudoRandom
 

default traits for pseudo-random number generation

Tests:
a sequence generator is generated and tested by comparing samples against known good values.

typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativePoisson> PoissonPseudoRandom
 

traits for Poisson-distributed pseudo-random number generation

Tests:
sequence generators are generated and tested by comparing samples against known good values.


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