IsotropicRandomWalk< Distribution, Engine > Class Template Reference

Isotropic random walk. More...

#include <isotropicrandomwalk.hpp>

Inheritance diagram for IsotropicRandomWalk< Distribution, Engine >:

Collaboration diagram for IsotropicRandomWalk< Distribution, Engine >:

Public Member Functions
	IsotropicRandomWalk (Engine eng, Distribution dist, Size dim, Array weights=Array(), unsigned long seed=0)
template<class InputIterator >
void	nextReal (InputIterator first)
void	setDimension (Size dim)
void	setDimension (Size dim, const Array &weights)
void	setDimension (Size dim, const Array &lowerBound, const Array &upperBound)

Protected Attributes
Engine	engine_
Distribution	distribution_
MersenneTwisterUniformRng	rng_
Array	weights_
Size	dim_

Detailed Description

template<class Distribution, class Engine>
class QuantLib::IsotropicRandomWalk< Distribution, Engine >

Isotropic random walk.

A variate is used to draw from a random element of a probability distribution. The draw corresponds to the radius of a d-dimensional sphere. The position on the surface of the d-dimensional sphere is randomly chosen with all points on the surface having the same probability, i.e. all directions are isotropic and the step is randomly drawn from the given variate.

Definition at line 44 of file isotropicrandomwalk.hpp.

Constructor & Destructor Documentation

IsotropicRandomWalk()

IsotropicRandomWalk	(	Engine	eng,
		Distribution	dist,
		Size	dim,
		Array	weights = Array(),
		unsigned long	seed = 0
	)

Definition at line 46 of file isotropicrandomwalk.hpp.

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Member Function Documentation

nextReal()

void nextReal

(

InputIterator

first

)

Definition at line 58 of file isotropicrandomwalk.hpp.

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setDimension() [1/3]

void setDimension

(

Size

dim

)

Definition at line 79 of file isotropicrandomwalk.hpp.

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setDimension() [2/3]

void setDimension	(	Size	dim,
		const Array &	weights
	)

Definition at line 83 of file isotropicrandomwalk.hpp.

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setDimension() [3/3]

void setDimension	(	Size	dim,
		const Array &	lowerBound,
		const Array &	upperBound
	)

The isotropic random walk will not adjust its draw to be within the lower and upper bounds, but if the limits are provided, they are used to rescale the sphere so as to make it to an ellipsoid, with different radius in different dimensions.

Definition at line 93 of file isotropicrandomwalk.hpp.

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Member Data Documentation

engine_

Engine engine_

protected

Definition at line 112 of file isotropicrandomwalk.hpp.

distribution_

Distribution distribution_

protected

Definition at line 113 of file isotropicrandomwalk.hpp.

rng_

MersenneTwisterUniformRng rng_

protected

Definition at line 114 of file isotropicrandomwalk.hpp.

weights_

Array weights_

protected

Definition at line 115 of file isotropicrandomwalk.hpp.

dim_

Size dim_

protected

Definition at line 116 of file isotropicrandomwalk.hpp.