multipathvariategenerator.hpp File Reference

multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function More...

#include <qle/methods/multipathgeneratorbase.hpp>

Go to the source code of this file.

Classes
class	MultiPathVariateGeneratorBase
class	MultiPathVariateGeneratorMersenneTwister
class	MultiPathVariateGeneratorMersenneTwisterAntithetic
class	MultiPathVariateGeneratorSobol
class	MultiPathVariateGeneratorBurley2020Sobol
class	MultiPathVariateGeneratorSobolBrownianBridgeBase
class	MultiPathVariateGeneratorSobolBrownianBridge
class	MultiPathVariateGeneratorBurley2020SobolBrownianBridge

Namespaces
namespace	QuantExt

Functions
QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase >	makeMultiPathVariateGenerator (const SequenceType s, const Size dimension, const Size timeSteps, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers)

Detailed Description

multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function

Definition in file multipathvariategenerator.hpp.