StochasticCollocationInvCDF Class Reference

Stochastic collocation inverse cumulative distribution function. More...

#include <stochasticcollocationinvcdf.hpp>

Collaboration diagram for StochasticCollocationInvCDF:

Public Member Functions
	StochasticCollocationInvCDF (const std::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Real	value (Real x) const
Real	operator() (Real u) const

Private Attributes
const Array	x_
const Volatility	sigma_
const Array	y_
const LagrangeInterpolation	interpl_

Detailed Description

Stochastic collocation inverse cumulative distribution function.

References: L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee, The Stochastic Collocation Monte Carlo Sampler: Highly efficient sampling from “expensive” distributions http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691

Definition at line 42 of file stochasticcollocationinvcdf.hpp.

Constructor & Destructor Documentation

StochasticCollocationInvCDF()

StochasticCollocationInvCDF	(	const std::function< Real(Real)> &	invCDF,
		Size	lagrangeOrder,
		Real	pMax = Null<Real>(),
		Real	pMin = Null<Real>()
	)

Definition at line 45 of file stochasticcollocationinvcdf.cpp.

Member Function Documentation

value()

Real value

(

Real

x

)

const

Definition at line 58 of file stochasticcollocationinvcdf.cpp.

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operator()()

Real operator()

(

Real

u

)

const

Definition at line 61 of file stochasticcollocationinvcdf.cpp.

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Member Data Documentation

x_

const Array x_

private

Definition at line 54 of file stochasticcollocationinvcdf.hpp.

sigma_

const Volatility sigma_

private

Definition at line 55 of file stochasticcollocationinvcdf.hpp.

y_

const Array y_

private

Definition at line 56 of file stochasticcollocationinvcdf.hpp.

interpl_

const LagrangeInterpolation interpl_

private

Definition at line 57 of file stochasticcollocationinvcdf.hpp.