#include <ql/experimental/math/latentmodel.hpp>

Collaboration diagram for LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >:

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

Public Member Functions
	FactorSampler (const copulaType &copula, BigNatural seed=0)

const sample_type &	nextSequence () const

Private Attributes
USNG	sequenceGen_

sample_type	x_

const copulaType &	copula_

Detailed Description

template<class copulaPolicyImpl>
template<class USNG, bool = true>
class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >

Allows generation or random samples of the latent variable.

Generates samples of all the factors in the latent model according to the given copula as random sequence. The default implementation given uses the inversion in the copula policy (which must be present). USNG is expected to be a uniform sequence generator in the default implementation.

Definition at line 413 of file latentmodel.hpp.

Member Typedef Documentation

◆ sample_type

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

Definition at line 415 of file latentmodel.hpp.

Constructor & Destructor Documentation

◆ FactorSampler()

FactorSampler	(	const copulaType &	copula,
		BigNatural	seed = `0`
	)

explicit

Definition at line 416 of file latentmodel.hpp.

Member Function Documentation

◆ nextSequence()

const sample_type & nextSequence ( ) const

Returns a sample of the factor set \( M_k\,Z_i\). This method has the vocation of being specialized at particular types of the copula with a more efficient inversion to generate the random variables modelled (e.g. Box-Muller for a gaussian). Here a default implementation is provided based directly on the inversion of the cumulative distribution from the copula. Care has to be taken in potential specializations that the generator algorithm is compatible with an eventual concurrence of the simulations.

Definition at line 431 of file latentmodel.hpp.

Member Data Documentation

◆ sequenceGen_

USNG sequenceGen_

private

Definition at line 438 of file latentmodel.hpp.

◆ x_

sample_type x_

mutableprivate

Definition at line 439 of file latentmodel.hpp.

◆ copula_

const copulaType& copula_