25#ifndef quantlib_frank_copula_rng_hpp
26#define quantlib_frank_copula_rng_hpp
28#include <ql/methods/montecarlo/sample.hpp>
29#include <ql/errors.hpp>
49 : uniformGenerator_(ug), theta_(th) {
51 "theta (" << th <<
") must be different from 0");
57 typename RNG::sample_type v1 = uniformGenerator_.next();
58 typename RNG::sample_type v2 = uniformGenerator_.next();
60 Real u2 = (-1.0/theta_)*std::log(1.0+(v2.value*(1.0-std::exp(-theta_)))/(v2.value*(std::exp(-theta_*v1.value)-1.0)-std::exp(-theta_*v1.value)));
Frank copula random-number generator.
FrankCopulaRng(const RNG &uniformGenerator, Real theta)
Sample< std::vector< Real > > sample_type