QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Private Attributes | List of all members
FarlieGumbelMorgensternCopulaRng< RNG > Class Template Reference

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

#include <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()

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.