SobolBrownianGenerator (3) Linux Manual Page
QuantLib::SobolBrownianGenerator – Sobol Brownian generator for market-model simulations.
Synopsis
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>Inherits QuantLib::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
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.