InverseCumulativeRsg< USG, IC > Class Template Reference

Inverse cumulative random sequence generator. More...

#include <ql/math/randomnumbers/inversecumulativersg.hpp>

Inheritance diagram for InverseCumulativeRsg< USG, IC >:

Collaboration diagram for InverseCumulativeRsg< USG, IC >:

Public Types
typedef Sample< std::vector< Real > >	sample_type

Public Member Functions
	InverseCumulativeRsg (USG uniformSequenceGenerator)
	InverseCumulativeRsg (USG uniformSequenceGenerator, const IC &inverseCumulative)
const sample_type &	nextSequence () const
	returns next sample from the inverse cumulative distribution More...
const sample_type &	lastSequence () const
Size	dimension () const

Private Attributes
USG	uniformSequenceGenerator_
Size	dimension_
sample_type	x_
IC	ICD_

Detailed Description

template<class USG, class IC>
class QuantLib::InverseCumulativeRsg< USG, IC >

Inverse cumulative random sequence generator.

It uses a sequence of uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.

The uniform deviate sequence is supplied by USG.

Class USG must implement the following interface:

USG::sample_type USG::nextSequence() const;
Size USG::dimension() const;

The inverse cumulative distribution is supplied by IC.

Class IC must implement the following interface:

IC::IC();
Real IC::operator() const;

Examples

DiscreteHedging.cpp.

Definition at line 57 of file inversecumulativersg.hpp.

Member Typedef Documentation

sample_type

typedef Sample<std::vector<Real> > sample_type

Definition at line 59 of file inversecumulativersg.hpp.

Constructor & Destructor Documentation

InverseCumulativeRsg() [1/2]

InverseCumulativeRsg ( USG  uniformSequenceGenerator )

explicit

Definition at line 74 of file inversecumulativersg.hpp.

InverseCumulativeRsg() [2/2]

InverseCumulativeRsg	(	USG	uniformSequenceGenerator,
		const IC &	inverseCumulative
	)

Definition at line 79 of file inversecumulativersg.hpp.

Member Function Documentation

nextSequence()

const InverseCumulativeRsg< USG, IC >::sample_type & nextSequence

returns next sample from the inverse cumulative distribution

Definition at line 85 of file inversecumulativersg.hpp.

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lastSequence()

const sample_type & lastSequence

(

)

const

Definition at line 64 of file inversecumulativersg.hpp.

dimension()

Size dimension

(

)

const

Definition at line 65 of file inversecumulativersg.hpp.

Member Data Documentation

uniformSequenceGenerator_

USG uniformSequenceGenerator_

private

Definition at line 67 of file inversecumulativersg.hpp.

dimension_

Size dimension_

private

Definition at line 68 of file inversecumulativersg.hpp.

x_

sample_type x_

mutableprivate

Definition at line 69 of file inversecumulativersg.hpp.

ICD_

IC ICD_

private

Definition at line 70 of file inversecumulativersg.hpp.