QuantLib
: a free/open-source library for quantitative finance
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math
randomnumbers
sobolbrownianbridgersg.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) 2012 Klaus Spanderen
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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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#ifndef quantlib_sobol_brownian_bridge_rsg_hpp
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#define quantlib_sobol_brownian_bridge_rsg_hpp
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#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
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namespace
QuantLib
{
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class
SobolBrownianBridgeRsg
{
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public
:
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typedef
Sample<std::vector<Real>
>
sample_type
;
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SobolBrownianBridgeRsg
(
Size
factors,
Size
steps,
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SobolBrownianGenerator::Ordering
ordering
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=
SobolBrownianGenerator::Diagonal
,
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unsigned
long
seed = 0,
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SobolRsg::DirectionIntegers
directionIntegers
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=
SobolRsg::JoeKuoD7
);
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const
sample_type
&
nextSequence
()
const
;
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const
sample_type
&
lastSequence
()
const
;
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Size
dimension
()
const
;
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private
:
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const
Size
factors_
,
steps_
,
dim_
;
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mutable
sample_type
seq_
;
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mutable
SobolBrownianGenerator
gen_
;
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};
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}
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#endif
QuantLib::SobolBrownianBridgeRsg
Definition:
sobolbrownianbridgersg.hpp:32
QuantLib::SobolBrownianBridgeRsg::factors_
const Size factors_
Definition:
sobolbrownianbridgersg.hpp:48
QuantLib::SobolBrownianBridgeRsg::nextSequence
const sample_type & nextSequence() const
Definition:
sobolbrownianbridgersg.cpp:39
QuantLib::SobolBrownianBridgeRsg::dimension
Size dimension() const
Definition:
sobolbrownianbridgersg.cpp:56
QuantLib::SobolBrownianBridgeRsg::seq_
sample_type seq_
Definition:
sobolbrownianbridgersg.hpp:49
QuantLib::SobolBrownianBridgeRsg::dim_
const Size dim_
Definition:
sobolbrownianbridgersg.hpp:48
QuantLib::SobolBrownianBridgeRsg::steps_
const Size steps_
Definition:
sobolbrownianbridgersg.hpp:48
QuantLib::SobolBrownianBridgeRsg::gen_
SobolBrownianGenerator gen_
Definition:
sobolbrownianbridgersg.hpp:50
QuantLib::SobolBrownianBridgeRsg::sample_type
Sample< std::vector< Real > > sample_type
Definition:
sobolbrownianbridgersg.hpp:34
QuantLib::SobolBrownianBridgeRsg::lastSequence
const sample_type & lastSequence() const
Definition:
sobolbrownianbridgersg.cpp:52
QuantLib::SobolBrownianGenerator
Sobol Brownian generator for market-model simulations.
Definition:
sobolbrowniangenerator.hpp:37
QuantLib::SobolBrownianGenerator::Ordering
Ordering
Definition:
sobolbrowniangenerator.hpp:39
QuantLib::SobolBrownianGenerator::Diagonal
@ Diagonal
Definition:
sobolbrowniangenerator.hpp:44
QuantLib::SobolRsg::DirectionIntegers
DirectionIntegers
Definition:
sobolrsg.hpp:113
QuantLib::SobolRsg::JoeKuoD7
@ JoeKuoD7
Definition:
sobolrsg.hpp:115
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
QuantLib::Sample
weighted sample
Definition:
sample.hpp:35
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