SobolBrownianGenerator Class Reference

Sobol Brownian generator for market-model simulations. More...

#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>

Inheritance diagram for SobolBrownianGenerator:

Collaboration diagram for SobolBrownianGenerator:

Public Types
enum	Ordering { Factors , Steps , Diagonal }

Public Member Functions
	SobolBrownianGenerator (Size factors, Size steps, Ordering ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel)
Real	nextPath () override
Real	nextStep (std::vector< Real > &) override
Size	numberOfFactors () const override
Size	numberOfSteps () const override
const std::vector< std::vector< Size > > &	orderedIndices () const
std::vector< std::vector< Real > >	transform (const std::vector< std::vector< Real > > &variates)
Public Member Functions inherited from BrownianGenerator
virtual	~BrownianGenerator ()=default
virtual Real	nextStep (std::vector< Real > &)=0
virtual Real	nextPath ()=0
virtual Size	numberOfFactors () const =0
virtual Size	numberOfSteps () const =0

Private Attributes
Size	factors_
Size	steps_
Ordering	ordering_
InverseCumulativeRsg< SobolRsg, InverseCumulativeNormal >	generator_
BrownianBridge	bridge_
Size	lastStep_ = 0
std::vector< std::vector< Size > >	orderedIndices_
std::vector< std::vector< Real > >	bridgedVariates_

Detailed Description

Sobol Brownian generator for market-model simulations.

Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.

Definition at line 37 of file sobolbrowniangenerator.hpp.

Member Enumeration Documentation

Ordering

enum Ordering

Enumerator
Factors	The variates with the best quality will be used for the evolution of the first factor.
Steps	The variates with the best quality will be used for the largest steps of all factors.
Diagonal	A diagonal schema will be used to assign the variates with the best quality to the most important factors and the largest steps.

Definition at line 39 of file sobolbrowniangenerator.hpp.

Constructor & Destructor Documentation

SobolBrownianGenerator()

SobolBrownianGenerator	(	Size	factors,
		Size	steps,
		Ordering	ordering,
		unsigned long	seed = 0,
		SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::Jaeckel
	)

Definition at line 110 of file sobolbrowniangenerator.cpp.

Member Function Documentation

nextPath()

Real nextPath ( )

overridevirtual

Implements BrownianGenerator.

Definition at line 136 of file sobolbrowniangenerator.cpp.

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nextStep()

Real nextStep ( std::vector< Real > &  output )

overridevirtual

Implements BrownianGenerator.

Definition at line 193 of file sobolbrowniangenerator.cpp.

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numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements BrownianGenerator.

Definition at line 204 of file sobolbrowniangenerator.cpp.

numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements BrownianGenerator.

Definition at line 206 of file sobolbrowniangenerator.cpp.

orderedIndices()

const std::vector< std::vector< Size > > & orderedIndices

(

)

const

Definition at line 158 of file sobolbrowniangenerator.cpp.

transform()

std::vector< std::vector< Real > > transform

(

const std::vector< std::vector< Real > > &

variates

)

Definition at line 162 of file sobolbrowniangenerator.cpp.

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Member Data Documentation

factors_

Size factors_

private

Definition at line 69 of file sobolbrowniangenerator.hpp.

steps_

Size steps_

private

Definition at line 69 of file sobolbrowniangenerator.hpp.

ordering_

Ordering ordering_

private

Definition at line 70 of file sobolbrowniangenerator.hpp.

generator_

InverseCumulativeRsg<SobolRsg,InverseCumulativeNormal> generator_

private

Definition at line 71 of file sobolbrowniangenerator.hpp.

bridge_

BrownianBridge bridge_

private

Definition at line 72 of file sobolbrowniangenerator.hpp.

lastStep_

Size lastStep_ = 0

private

Definition at line 74 of file sobolbrowniangenerator.hpp.

orderedIndices_

std::vector<std::vector<Size> > orderedIndices_

private

Definition at line 75 of file sobolbrowniangenerator.hpp.

bridgedVariates_

std::vector<std::vector<Real> > bridgedVariates_

private

Definition at line 76 of file sobolbrowniangenerator.hpp.