FarlieGumbelMorgensternCopulaRng< RNG > Class Template Reference

Farlie-Gumbel-Morgenstern copula random-number generator. More...

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

Collaboration diagram for FarlieGumbelMorgensternCopulaRng< RNG >:

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

Public Member Functions
	FarlieGumbelMorgensternCopulaRng (const RNG &uniformGenerator, Real theta)
sample_type	next () const

Private Attributes
Real	theta_
RNG	uniformGenerator_

Detailed Description

template<class RNG>
class QuantLib::FarlieGumbelMorgensternCopulaRng< RNG >

Farlie-Gumbel-Morgenstern copula random-number generator.

Definition at line 36 of file farliegumbelmorgensterncopularng.hpp.

Member Typedef Documentation

sample_type

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

Definition at line 38 of file farliegumbelmorgensterncopularng.hpp.

urng_type

typedef RNG urng_type

Definition at line 39 of file farliegumbelmorgensterncopularng.hpp.

Constructor & Destructor Documentation

FarlieGumbelMorgensternCopulaRng()

FarlieGumbelMorgensternCopulaRng ( const RNG &  uniformGenerator, Real  theta  )

explicit

Definition at line 49 of file farliegumbelmorgensterncopularng.hpp.

Member Function Documentation

next()

FarlieGumbelMorgensternCopulaRng< RNG >::sample_type next

Definition at line 58 of file farliegumbelmorgensterncopularng.hpp.

Member Data Documentation

theta_

Real theta_

private

Definition at line 44 of file farliegumbelmorgensterncopularng.hpp.

uniformGenerator_

RNG uniformGenerator_

private

Definition at line 45 of file farliegumbelmorgensterncopularng.hpp.