#include <qle/methods/multipathvariategenerator.hpp>

Inheritance diagram for MultiPathVariateGeneratorSobol:

Collaboration diagram for MultiPathVariateGeneratorSobol:

Public Member Functions
	MultiPathVariateGeneratorSobol (const Size dimension, const Size timeSteps, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)

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_

QuantLib::ext::shared_ptr< LowDiscrepancy::rsg_type >	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 67 of file multipathvariategenerator.hpp.

Constructor & Destructor Documentation

◆ MultiPathVariateGeneratorSobol()

MultiPathVariateGeneratorSobol	(	const Size	dimension,
		const Size	timeSteps,
		BigNatural	seed = `0`,
		SobolRsg::DirectionIntegers	directionIntegers = `SobolRsg::JoeKuoD7`
	)

Definition at line 75 of file multipathvariategenerator.cpp.

    : MultiPathVariateGeneratorBase(dimension, timeSteps), seed_(seed), directionIntegers_(directionIntegers) {
    MultiPathVariateGeneratorSobol::reset();
}

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Member Function Documentation

◆ reset()

void reset ( )

overridevirtual

Implements MultiPathVariateGeneratorBase.

Definition at line 82 of file multipathvariategenerator.cpp.

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