Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More...

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorBurley2020Sobol:

Collaboration diagram for MultiPathGeneratorBurley2020Sobol:

Public Member Functions
	MultiPathGeneratorBurley2020Sobol (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, BigNatural seed=42, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, BigNatural scrambleSeed=43)

const Sample< MultiPath > &	next () const override

void	reset () override

Public Member Functions inherited from MultiPathGeneratorBase
virtual	~MultiPathGeneratorBase ()

virtual const Sample< MultiPath > &	next () const =0

virtual void	reset ()=0

Private Attributes
const QuantLib::ext::shared_ptr< StochasticProcess >	process_

TimeGrid	grid_

BigNatural	seed_

SobolRsg::DirectionIntegers	directionIntegers_

BigNatural	scrambleSeed_

QuantLib::ext::shared_ptr< MultiPathGenerator< InverseCumulativeRsg< Burley2020SobolRsg, InverseCumulativeNormal > > >	pg_

QuantLib::ext::shared_ptr< PathGenerator< InverseCumulativeRsg< Burley2020SobolRsg, InverseCumulativeNormal > > >	pg1D_

Sample< MultiPath >	next_

Detailed Description

Instantiation of MultiPathGenerator with standard LowDiscrepancy traits.

no Brownian bridge provided, use MultiPathGeneratorSobolBrownianBridge for this, for the use of the seed, see ql/math/randomnumbers/sobolrsg.cpp

\ingroup methods

Definition at line 115 of file multipathgeneratorbase.hpp.

Constructor & Destructor Documentation

◆ MultiPathGeneratorBurley2020Sobol()

MultiPathGeneratorBurley2020Sobol	(	const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	grid,
		BigNatural	seed = `42`,
		SobolRsg::DirectionIntegers	directionIntegers = `SobolRsg::JoeKuoD7`,
		BigNatural	scrambleSeed = `43`
	)

Definition at line 96 of file multipathgeneratorbase.cpp.

    : process_(process), grid_(grid), seed_(seed), directionIntegers_(directionIntegers), scrambleSeed_(scrambleSeed),
      next_(MultiPath(process->size(), grid), 1.0) {
    MultiPathGeneratorBurley2020Sobol::reset();
}

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Member Function Documentation

◆ next()

const Sample< MultiPath > & next ( ) const

overridevirtual

Implements MultiPathGeneratorBase.

Definition at line 121 of file multipathgeneratorbase.cpp.

                                                                       {
    if (pg_)
        return pg_->next();
    else {
        next_.value.at(0) = pg1D_->next().value;
        return next_;
    }
}

◆ reset()

void reset ( )

overridevirtual

Implements MultiPathGeneratorBase.

Definition at line 105 of file multipathgeneratorbase.cpp.

                                              {
    if (auto tmp = QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(process_)) {
        pg1D_ = QuantLib::ext::make_shared<PathGenerator<InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal>>>(
            tmp, grid_,
            InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal>(
                Burley2020SobolRsg(process_->factors() * (grid_.size() - 1), seed_, directionIntegers_, scrambleSeed_)),
            false);
 
    } else {
        pg_ = QuantLib::ext::make_shared<MultiPathGenerator<InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal>>>(
            process_, grid_,
            InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal>(Burley2020SobolRsg(
                process_->factors() * (grid_.size() - 1), seed_, directionIntegers_, scrambleSeed_)));
    }
}