SobolBrownianGenerator Class Reference

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

List of all members.


Detailed Description

Sobol Brownian generator for market-model simulations.

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


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


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.