QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Stochastic collocation inverse cumulative distribution function. More...
#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>
Public Member Functions | |
StochasticCollocationInvCDF (const ext::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >()) | |
Real | value (Real x) const |
Real | operator() (Real u) const |
Public Attributes | |
QL_DEPRECATED typedef Real | argument_type |
QL_DEPRECATED typedef Real | result_type |
Private Attributes | |
const Array | x_ |
const Volatility | sigma_ |
const Array | y_ |
const LagrangeInterpolation | interpl_ |
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.
StochasticCollocationInvCDF | ( | const ext::function< Real(Real)> & | invCDF, |
Size | lagrangeOrder, | ||
Real | pMax = Null<Real>() , |
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Real | pMin = Null<Real>() |
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) |
Definition at line 45 of file stochasticcollocationinvcdf.cpp.
Definition at line 58 of file stochasticcollocationinvcdf.cpp.
Definition at line 61 of file stochasticcollocationinvcdf.cpp.
QL_DEPRECATED typedef Real argument_type |
auto
or decltype
instead. Deprecated in version 1.29. Definition at line 48 of file stochasticcollocationinvcdf.hpp.
QL_DEPRECATED typedef Real result_type |
auto
or decltype
instead. Deprecated in version 1.29. Definition at line 54 of file stochasticcollocationinvcdf.hpp.
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private |
Definition at line 66 of file stochasticcollocationinvcdf.hpp.
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private |
Definition at line 67 of file stochasticcollocationinvcdf.hpp.
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private |
Definition at line 68 of file stochasticcollocationinvcdf.hpp.
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private |
Definition at line 69 of file stochasticcollocationinvcdf.hpp.