multipathgeneratorbase.hpp File Reference

base class for multi path generators More...

#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/methods/montecarlo/brownianbridge.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
#include <ql/methods/montecarlo/multipathgenerator.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
#include <ql/stochasticprocess.hpp>

Go to the source code of this file.

Classes
class	MultiPathGeneratorBase
	Multi Path Generator Base. More...
class	MultiPathGeneratorMersenneTwister
	Instantiation of MultiPathGenerator with standard PseudoRandom traits. More...
class	MultiPathGeneratorMersenneTwisterAntithetic
class	MultiPathGeneratorSobol
	Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More...
class	MultiPathGeneratorBurley2020Sobol
	Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More...
class	MultiPathGeneratorSobolBrownianBridgeBase
	Base class for instantiations using brownian generators from models/marketmodels/browniangenerators. More...
class	MultiPathGeneratorSobolBrownianBridge
	Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators. More...
class	MultiPathGeneratorBurley2020SobolBrownianBridge
	Instantiation using Burley2020SobolBrownianGenerator from models/marketmodels/browniangenerators. More...

Namespaces
namespace	QuantExt

Enumerations
enum	SequenceType {   MersenneTwister , MersenneTwisterAntithetic , Sobol , Burley2020Sobol ,   SobolBrownianBridge , Burley2020SobolBrownianBridge }

Functions
QuantLib::ext::shared_ptr< MultiPathGeneratorBase >	makeMultiPathGenerator (const SequenceType s, const QuantLib::ext::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
	Make function for path generators. More...
std::ostream &	operator<< (std::ostream &out, const SequenceType s)
	Output function. More...

Detailed Description

base class for multi path generators

Definition in file multipathgeneratorbase.hpp.