Sobol Brownian generator for market-model simulations. More...
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
Inherits 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 |
const std::vector< std::vector < Size > > & | orderedIndices () const |
std::vector< std::vector< Real > > | transform (const std::vector< std::vector< Real > > &variates) |
Sobol Brownian generator for market-model simulations.
Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.
enum Ordering |