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…
