MultiPathVariateGeneratorBurley2020Sobol Class Reference

#include <qle/methods/multipathvariategenerator.hpp>

Inheritance diagram for MultiPathVariateGeneratorBurley2020Sobol:

Collaboration diagram for MultiPathVariateGeneratorBurley2020Sobol:

Public Member Functions
	MultiPathVariateGeneratorBurley2020Sobol (const Size dimension, const Size timeSteps, BigNatural seed=42, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, BigNatural scrambleSeed=43)
void	reset () override
Public Member Functions inherited from MultiPathVariateGeneratorBase
	MultiPathVariateGeneratorBase (const Size dimension, const Size timeSteps)
virtual	~MultiPathVariateGeneratorBase ()
virtual Sample< std::vector< Array > >	next () const
virtual void	reset ()=0

Private Member Functions
Sample< std::vector< Real > >	nextSequence () const override

Private Attributes
BigNatural	seed_
SobolRsg::DirectionIntegers	directionIntegers_
BigNatural	scrambleSeed_
QuantLib::ext::shared_ptr< InverseCumulativeRsg< Burley2020SobolRsg, InverseCumulativeNormal > >	rsg_

Additional Inherited Members
virtual Sample< std::vector< Real > >	nextSequence () const =0
Protected Attributes inherited from MultiPathVariateGeneratorBase
Size	dimension_
Size	timeSteps_

Detailed Description

Definition at line 82 of file multipathvariategenerator.hpp.

Constructor & Destructor Documentation

MultiPathVariateGeneratorBurley2020Sobol()

MultiPathVariateGeneratorBurley2020Sobol	(	const Size	dimension,
		const Size	timeSteps,
		BigNatural	seed = 42,
		SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::JoeKuoD7,
		BigNatural	scrambleSeed = 43
	)

Definition at line 89 of file multipathvariategenerator.cpp.

    : MultiPathVariateGeneratorBase(dimension, timeSteps), seed_(seed), directionIntegers_(directionIntegers),
      scrambleSeed_(scrambleSeed) {
    MultiPathVariateGeneratorBurley2020Sobol::reset();
}

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Member Function Documentation

reset()

void reset ( )

overridevirtual

Implements MultiPathVariateGeneratorBase.

Definition at line 97 of file multipathvariategenerator.cpp.

                                                     {
    rsg_ = QuantLib::ext::make_shared<InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal>>(
        Burley2020SobolRsg(dimension_ * timeSteps_, seed_, directionIntegers_, scrambleSeed_), InverseCumulativeNormal());
}

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nextSequence()

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

overrideprivatevirtual

Implements MultiPathVariateGeneratorBase.

Definition at line 102 of file multipathvariategenerator.cpp.

                                                                                     {
    return rsg_->nextSequence();
}

Member Data Documentation

seed_

BigNatural seed_

private

Definition at line 91 of file multipathvariategenerator.hpp.

directionIntegers_

SobolRsg::DirectionIntegers directionIntegers_

private

Definition at line 92 of file multipathvariategenerator.hpp.

scrambleSeed_

BigNatural scrambleSeed_

private

Definition at line 93 of file multipathvariategenerator.hpp.

rsg_

QuantLib::ext::shared_ptr<InverseCumulativeRsg<Burley2020SobolRsg, InverseCumulativeNormal> > rsg_

private

Definition at line 95 of file multipathvariategenerator.hpp.