MultiPathGeneratorSobol Class Reference

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

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorSobol:

Collaboration diagram for MultiPathGeneratorSobol:

Public Member Functions
	MultiPathGeneratorSobol (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
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_
QuantLib::ext::shared_ptr< MultiPathGenerator< LowDiscrepancy::rsg_type > >	pg_
QuantLib::ext::shared_ptr< PathGenerator< LowDiscrepancy::rsg_type > >	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 91 of file multipathgeneratorbase.hpp.

Constructor & Destructor Documentation

MultiPathGeneratorSobol()

MultiPathGeneratorSobol	(	const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	grid,
		BigNatural	seed = 0,
		SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::JoeKuoD7
	)

Definition at line 63 of file multipathgeneratorbase.cpp.

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

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Member Function Documentation

next()

const Sample< MultiPath > & next ( ) const

overridevirtual

Implements MultiPathGeneratorBase.

Definition at line 87 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 71 of file multipathgeneratorbase.cpp.

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

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Member Data Documentation

process_

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

private

Definition at line 99 of file multipathgeneratorbase.hpp.

grid_

TimeGrid grid_

private

Definition at line 100 of file multipathgeneratorbase.hpp.

seed_

BigNatural seed_

private

Definition at line 101 of file multipathgeneratorbase.hpp.

directionIntegers_

SobolRsg::DirectionIntegers directionIntegers_

private

Definition at line 102 of file multipathgeneratorbase.hpp.

pg_

QuantLib::ext::shared_ptr<MultiPathGenerator<LowDiscrepancy::rsg_type> > pg_

private

Definition at line 104 of file multipathgeneratorbase.hpp.

pg1D_

QuantLib::ext::shared_ptr<PathGenerator<LowDiscrepancy::rsg_type> > pg1D_

private

Definition at line 105 of file multipathgeneratorbase.hpp.

next_

Sample<MultiPath> next_

mutableprivate

Definition at line 106 of file multipathgeneratorbase.hpp.