MultiPathVariateGeneratorBase Class Reference

#include <qle/methods/multipathvariategenerator.hpp>

Inheritance diagram for MultiPathVariateGeneratorBase:

Collaboration diagram for MultiPathVariateGeneratorBase:

Public Member Functions
	MultiPathVariateGeneratorBase (const Size dimension, const Size timeSteps)
virtual	~MultiPathVariateGeneratorBase ()
virtual Sample< std::vector< Array > >	next () const
virtual void	reset ()=0

Protected Member Functions
virtual Sample< std::vector< Real > >	nextSequence () const =0

Protected Attributes
Size	dimension_
Size	timeSteps_

Detailed Description

Definition at line 31 of file multipathvariategenerator.hpp.

Constructor & Destructor Documentation

MultiPathVariateGeneratorBase()

MultiPathVariateGeneratorBase	(	const Size	dimension,
		const Size	timeSteps
	)

Definition at line 27 of file multipathvariategenerator.cpp.

    : dimension_(dimension), timeSteps_(timeSteps) {}

~MultiPathVariateGeneratorBase()

virtual ~MultiPathVariateGeneratorBase ( )

virtual

Definition at line 34 of file multipathvariategenerator.hpp.

{}

Member Function Documentation

next()

Sample< std::vector< Array > > next ( ) const

virtual

Reimplemented in MultiPathVariateGeneratorSobolBrownianBridgeBase.

Definition at line 30 of file multipathvariategenerator.cpp.

                                                                   {
 
    Sample<std::vector<Real>> sequence = nextSequence();
    Sample<std::vector<Array>> result(std::vector<Array>(timeSteps_, Array(dimension_)), sequence.weight);
 
    for (Size i = 0; i < timeSteps_; ++i) {
        Size offset = i * dimension_;
        std::copy(sequence.value.begin() + offset, sequence.value.begin() + offset + dimension_,
                  result.value[i].begin());
    }
 
    return result;
}

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reset()

virtual void reset ( )

pure virtual

Implemented in MultiPathVariateGeneratorMersenneTwister, MultiPathVariateGeneratorSobol, MultiPathVariateGeneratorBurley2020Sobol, MultiPathVariateGeneratorSobolBrownianBridge, and MultiPathVariateGeneratorBurley2020SobolBrownianBridge.

nextSequence()

virtual Sample< std::vector< Real > > nextSequence ( ) const

protectedpure virtual

Implemented in MultiPathVariateGeneratorMersenneTwister, MultiPathVariateGeneratorSobol, MultiPathVariateGeneratorBurley2020Sobol, and MultiPathVariateGeneratorSobolBrownianBridgeBase.

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Member Data Documentation

dimension_

Size dimension_

protected

Definition at line 41 of file multipathvariategenerator.hpp.

timeSteps_

Size timeSteps_

protected

Definition at line 42 of file multipathvariategenerator.hpp.