SobolBrownianGenerator Class Reference
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
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: