MultiPathGeneratorSobolBrownianBridge Class Reference

Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators. More...

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorSobolBrownianBridge:

Collaboration diagram for MultiPathGeneratorSobolBrownianBridge:

Public Member Functions
	MultiPathGeneratorSobolBrownianBridge (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
void	reset () override final
Public Member Functions inherited from MultiPathGeneratorSobolBrownianBridgeBase
	MultiPathGeneratorSobolBrownianBridgeBase (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
const Sample< MultiPath > &	next () const override
Public Member Functions inherited from MultiPathGeneratorBase
virtual	~MultiPathGeneratorBase ()
virtual const Sample< MultiPath > &	next () const =0
virtual void	reset ()=0

Additional Inherited Members
Protected Attributes inherited from MultiPathGeneratorSobolBrownianBridgeBase
const QuantLib::ext::shared_ptr< StochasticProcess >	process_
TimeGrid	grid_
SobolBrownianGenerator::Ordering	ordering_
BigNatural	seed_
SobolRsg::DirectionIntegers	directionIntegers_
QuantLib::ext::shared_ptr< SobolBrownianGeneratorBase >	gen_
Sample< MultiPath >	next_
QuantLib::ext::shared_ptr< StochasticProcess1D >	process1D_

Detailed Description

Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators.

Definition at line 161 of file multipathgeneratorbase.hpp.

Constructor & Destructor Documentation

MultiPathGeneratorSobolBrownianBridge()

MultiPathGeneratorSobolBrownianBridge	(	const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	grid,
		SobolBrownianGenerator::Ordering	ordering = SobolBrownianGenerator::Steps,
		BigNatural	seed = 0,
		SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::JoeKuoD7
	)

Definition at line 163 of file multipathgeneratorbase.cpp.

    : MultiPathGeneratorSobolBrownianBridgeBase(process, grid, ordering, seed, directionIntegers) {
    MultiPathGeneratorSobolBrownianBridge::reset();
}

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Member Function Documentation

reset()

void reset ( )

finaloverridevirtual

Implements MultiPathGeneratorBase.

Definition at line 170 of file multipathgeneratorbase.cpp.

                                                  {
    gen_ = QuantLib::ext::make_shared<SobolBrownianGenerator>(process_->factors(), grid_.size() - 1, ordering_, seed_,
                                                      directionIntegers_);
}

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