QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Types | Public Member Functions | List of all members
LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< BoxMullerGaussianRng< URNG > >, dummy > Class Template Reference

Specialization for direct Gaussian Box-Muller generation. More...

#include <ql/experimental/math/latentmodel.hpp>

Public Types

typedef Sample< std::vector
< Real > > 
sample_type
 

Public Member Functions

 FactorSampler (const GaussianCopulaPolicy &copula, BigNatural seed=0)
 
const sample_typenextSequence () const
 

Detailed Description

template<class copulaPolicyImpl>
template<class URNG, bool dummy>
class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< BoxMullerGaussianRng< URNG > >, dummy >

Specialization for direct Gaussian Box-Muller generation.

The implementation of Box-Muller in the library is the rejection variant so do not use it within a multithreaded simulation.