RandomSequenceGenerator< RNG > Class Template Reference

Random sequence generator based on a pseudo-random number generator. More...

#include <ql/math/randomnumbers/randomsequencegenerator.hpp>

Inheritance diagram for RandomSequenceGenerator< RNG >:

Collaboration diagram for RandomSequenceGenerator< RNG >:

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

Public Member Functions
	RandomSequenceGenerator (Size dimensionality, const RNG &rng)
	RandomSequenceGenerator (Size dimensionality, BigNatural seed=0)
const sample_type &	nextSequence () const
std::vector< BigNatural >	nextInt32Sequence () const
const sample_type &	lastSequence () const
Size	dimension () const

Private Attributes
Size	dimensionality_
RNG	rng_
sample_type	sequence_
std::vector< BigNatural >	int32Sequence_

Detailed Description

template<class RNG>
class QuantLib::RandomSequenceGenerator< RNG >

Random sequence generator based on a pseudo-random number generator.

Random sequence generator based on a pseudo-random number generator RNG.

Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

If a client of this class wants to use the nextInt32Sequence method, class RNG must also implement

unsigned long RNG::nextInt32() const;

Warning:

do not use with low-discrepancy sequence generator.

Examples

BasketLosses.cpp.

Definition at line 50 of file randomsequencegenerator.hpp.

Member Typedef Documentation

sample_type

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

Definition at line 52 of file randomsequencegenerator.hpp.

Constructor & Destructor Documentation

RandomSequenceGenerator() [1/2]

RandomSequenceGenerator	(	Size	dimensionality,
		const RNG &	rng
	)

Definition at line 53 of file randomsequencegenerator.hpp.

RandomSequenceGenerator() [2/2]

RandomSequenceGenerator ( Size  dimensionality, BigNatural  seed = 0  )

explicit

Definition at line 62 of file randomsequencegenerator.hpp.

Member Function Documentation

nextSequence()

const sample_type & nextSequence

(

)

const

Definition at line 68 of file randomsequencegenerator.hpp.

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nextInt32Sequence()

std::vector< BigNatural > nextInt32Sequence

(

)

const

Definition at line 77 of file randomsequencegenerator.hpp.

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lastSequence()

const sample_type & lastSequence

(

)

const

Definition at line 83 of file randomsequencegenerator.hpp.

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dimension()

Size dimension

(

)

const

Definition at line 86 of file randomsequencegenerator.hpp.

Member Data Documentation

dimensionality_

Size dimensionality_

private

Definition at line 88 of file randomsequencegenerator.hpp.

rng_

RNG rng_

private

Definition at line 89 of file randomsequencegenerator.hpp.

sequence_

sample_type sequence_

mutableprivate

Definition at line 90 of file randomsequencegenerator.hpp.

int32Sequence_

std::vector<BigNatural> int32Sequence_

mutableprivate

Definition at line 91 of file randomsequencegenerator.hpp.