QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Farlie-Gumbel-Morgenstern copula random-number generator. More...
#include <farliegumbelmorgensterncopularng.hpp>
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_ |
Farlie-Gumbel-Morgenstern copula random-number generator.
Definition at line 36 of file farliegumbelmorgensterncopularng.hpp.
typedef Sample<std::vector<Real> > sample_type |
Definition at line 38 of file farliegumbelmorgensterncopularng.hpp.
typedef RNG urng_type |
Definition at line 39 of file farliegumbelmorgensterncopularng.hpp.
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explicit |
Definition at line 49 of file farliegumbelmorgensterncopularng.hpp.
FarlieGumbelMorgensternCopulaRng< RNG >::sample_type next |
Definition at line 58 of file farliegumbelmorgensterncopularng.hpp.
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private |
Definition at line 44 of file farliegumbelmorgensterncopularng.hpp.
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private |
Definition at line 45 of file farliegumbelmorgensterncopularng.hpp.