QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Types | Public Member Functions | List of all members
FarlieGumbelMorgensternCopulaRng< RNG > Class Template Reference

Farlie-Gumbel-Morgenstern copula random-number generator. More...

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

Public Types

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

Public Member Functions

 FarlieGumbelMorgensternCopulaRng (const RNG &uniformGenerator, Real theta)
 
sample_type next () const
 

Detailed Description

template<class RNG>
class QuantLib::FarlieGumbelMorgensternCopulaRng< RNG >

Farlie-Gumbel-Morgenstern copula random-number generator.