#include <qle/methods/projectedvariatepathgeneratorfactory.hpp>

Inheritance diagram for ProjectedVariatePathGeneratorFactory:

Collaboration diagram for ProjectedVariatePathGeneratorFactory:

Public Member Functions
	ProjectedVariatePathGeneratorFactory (const std::vector< Size > &stateProcessProjection, const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &variateGenerator)

QuantLib::ext::shared_ptr< MultiPathGeneratorBase >	build (const SequenceType s, const QuantLib::ext::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers) override

Public Member Functions inherited from PathGeneratorFactory
virtual	~PathGeneratorFactory ()

virtual QuantLib::ext::shared_ptr< MultiPathGeneratorBase >	build (const SequenceType s, const QuantLib::ext::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers)=0

Private Attributes
const std::vector< Size >	stateProcessProjection_

const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase >	variateGenerator_

Detailed Description

Definition at line 32 of file projectedvariatepathgeneratorfactory.hpp.

Constructor & Destructor Documentation

◆ ProjectedVariatePathGeneratorFactory()

ProjectedVariatePathGeneratorFactory	(	const std::vector< Size > &	stateProcessProjection,
		const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &	variateGenerator
	)

Definition at line 34 of file projectedvariatepathgeneratorfactory.hpp.

36 : stateProcessProjection_(stateProcessProjection), variateGenerator_(variateGenerator) {}

QuantExt::ProjectedVariatePathGeneratorFactory::stateProcessProjection_

const std::vector< Size > stateProcessProjection_

Definition: projectedvariatepathgeneratorfactory.hpp:47

QuantExt::ProjectedVariatePathGeneratorFactory::variateGenerator_

const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > variateGenerator_

Definition: projectedvariatepathgeneratorfactory.hpp:48

Member Function Documentation

◆ build()

QuantLib::ext::shared_ptr< MultiPathGeneratorBase > build	(	const SequenceType	s,
		const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	timeGrid,
		const BigNatural	seed,
		const SobolBrownianGenerator::Ordering	ordering,
		const SobolRsg::DirectionIntegers	directionIntegers
	)

overridevirtual

Implements PathGeneratorFactory.

Definition at line 37 of file projectedvariatepathgeneratorfactory.hpp.

                                                                                                                {
        return QuantLib::ext::make_shared<ProjectedVariateMultiPathGenerator>(process, timeGrid, stateProcessProjection_,
                                                                      variateGenerator_);
    }

Member Data Documentation

◆ stateProcessProjection_

const std::vector<Size> stateProcessProjection_

private

Definition at line 47 of file projectedvariatepathgeneratorfactory.hpp.

◆ variateGenerator_

const QuantLib::ext::shared_ptr<MultiPathVariateGeneratorBase> variateGenerator_