QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
math
randomnumbers
latticersg.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2007 Mark Joshi
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file latticersg.hpp
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\brief lattice rule code for low discrepancy numbers
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*/
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#ifndef quantlib_lattice_rsg_hpp
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#define quantlib_lattice_rsg_hpp
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#include <
ql/methods/montecarlo/sample.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
LatticeRsg
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{
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public
:
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typedef
Sample<std::vector<Real>
>
sample_type
;
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LatticeRsg
(
Size
dimensionality, std::vector<Real> z,
Size
N);
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/*! skip to the n-th sample in the low-discrepancy sequence */
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void
skipTo
(
unsigned
long
n
);
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const
LatticeRsg::sample_type
&
nextSequence
();
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Size
dimension
()
const
{
return
dimensionality_
; }
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const
sample_type
&
lastSequence
()
const
{
return
sequence_
; }
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private
:
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Size
dimensionality_
;
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Size
N_
;
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Size
i_
= 0;
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std::vector<Real>
z_
;
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sample_type
sequence_
;
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};
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}
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#endif
n
Size n
Definition:
andreasenhugevolatilityinterpl.cpp:47
QuantLib::LatticeRsg
Definition:
latticersg.hpp:34
QuantLib::LatticeRsg::nextSequence
const LatticeRsg::sample_type & nextSequence()
Definition:
latticersg.cpp:37
QuantLib::LatticeRsg::z_
std::vector< Real > z_
Definition:
latticersg.hpp:48
QuantLib::LatticeRsg::dimension
Size dimension() const
Definition:
latticersg.hpp:41
QuantLib::LatticeRsg::sequence_
sample_type sequence_
Definition:
latticersg.hpp:50
QuantLib::LatticeRsg::i_
Size i_
Definition:
latticersg.hpp:47
QuantLib::LatticeRsg::N_
Size N_
Definition:
latticersg.hpp:46
QuantLib::LatticeRsg::dimensionality_
Size dimensionality_
Definition:
latticersg.hpp:45
QuantLib::LatticeRsg::lastSequence
const sample_type & lastSequence() const
Definition:
latticersg.hpp:42
QuantLib::LatticeRsg::skipTo
void skipTo(unsigned long n)
Definition:
latticersg.cpp:32
QuantLib::LatticeRsg::sample_type
Sample< std::vector< Real > > sample_type
Definition:
latticersg.hpp:36
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
sample.hpp
weighted sample
QuantLib::Sample
weighted sample
Definition:
sample.hpp:35
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