QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Sobol Brownian generator for market-model simulations. More...
#include <sobolbrowniangenerator.hpp>
Public Types | |
enum | Ordering { Factors , Steps , Diagonal } |
Public Member Functions | |
SobolBrownianGeneratorBase (Size factors, Size steps, Ordering ordering) | |
Real | nextPath () override |
Real | nextStep (std::vector< Real > &) override |
Size | numberOfFactors () const override |
Size | numberOfSteps () const override |
const std::vector< std::vector< Size > > & | orderedIndices () const |
std::vector< std::vector< Real > > | transform (const std::vector< std::vector< Real > > &variates) |
Public Member Functions inherited from BrownianGenerator | |
virtual | ~BrownianGenerator ()=default |
virtual Real | nextStep (std::vector< Real > &)=0 |
virtual Real | nextPath ()=0 |
virtual Size | numberOfFactors () const =0 |
virtual Size | numberOfSteps () const =0 |
Protected Member Functions | |
virtual const SobolRsg::sample_type & | nextSequence ()=0 |
Private Attributes | |
Size | factors_ |
Size | steps_ |
Ordering | ordering_ |
BrownianBridge | bridge_ |
Size | lastStep_ = 0 |
std::vector< std::vector< Size > > | orderedIndices_ |
std::vector< std::vector< Real > > | bridgedVariates_ |
Sobol Brownian generator for market-model simulations.
Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.
Definition at line 38 of file sobolbrowniangenerator.hpp.
enum Ordering |
Definition at line 40 of file sobolbrowniangenerator.hpp.
SobolBrownianGeneratorBase | ( | Size | factors, |
Size | steps, | ||
Ordering | ordering | ||
) |
Definition at line 110 of file sobolbrowniangenerator.cpp.
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overridevirtual |
Implements BrownianGenerator.
Definition at line 133 of file sobolbrowniangenerator.cpp.
Implements BrownianGenerator.
Definition at line 186 of file sobolbrowniangenerator.cpp.
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overridevirtual |
Implements BrownianGenerator.
Definition at line 197 of file sobolbrowniangenerator.cpp.
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overridevirtual |
Implements BrownianGenerator.
Definition at line 199 of file sobolbrowniangenerator.cpp.
const std::vector< std::vector< Size > > & orderedIndices | ( | ) | const |
Definition at line 151 of file sobolbrowniangenerator.cpp.
Definition at line 155 of file sobolbrowniangenerator.cpp.
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protectedpure virtual |
Implemented in SobolBrownianGenerator, and Burley2020SobolBrownianGenerator.
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private |
Definition at line 70 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 70 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 71 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 72 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 74 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 75 of file sobolbrowniangenerator.hpp.
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private |
Definition at line 76 of file sobolbrowniangenerator.hpp.