MTBrownianGenerator Class Reference

Mersenne-twister Brownian generator for market-model simulations. More...

#include <mtbrowniangenerator.hpp>

Inheritance diagram for MTBrownianGenerator:

Collaboration diagram for MTBrownianGenerator:

Public Member Functions
	MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0)
Real	nextStep (std::vector< Real > &) override
Real	nextPath () override
Size	numberOfFactors () const override
Size	numberOfSteps () const override
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_
Size	lastStep_ = 0
RandomSequenceGenerator< MersenneTwisterUniformRng >	generator_
InverseCumulativeNormal	inverseCumulative_

Detailed Description

Mersenne-twister Brownian generator for market-model simulations.

Incremental Brownian generator using a Mersenne-twister uniform generator and inverse-cumulative Gaussian method.

Note

At this time, generation of the underlying uniform sequence is eager, while its transformation into Gaussian variates is lazy. Further optimization might be possible by using the Mersenne twister directly instead of a RandomSequenceGenerator; however, it is not clear how much of a difference this would make when compared to the inverse-cumulative Gaussian calculation.

Definition at line 43 of file mtbrowniangenerator.hpp.

Constructor & Destructor Documentation

MTBrownianGenerator()

MTBrownianGenerator	(	Size	factors,
		Size	steps,
		unsigned long	seed = 0
	)

Definition at line 25 of file mtbrowniangenerator.cpp.

Member Function Documentation

nextStep()

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

overridevirtual

Implements BrownianGenerator.

Definition at line 29 of file mtbrowniangenerator.cpp.

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nextPath()

Real nextPath ( )

overridevirtual

Implements BrownianGenerator.

Definition at line 45 of file mtbrowniangenerator.cpp.

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numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements BrownianGenerator.

Definition at line 54 of file mtbrowniangenerator.cpp.

numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements BrownianGenerator.

Definition at line 56 of file mtbrowniangenerator.cpp.

Member Data Documentation

factors_

Size factors_

private

Definition at line 56 of file mtbrowniangenerator.hpp.

steps_

Size steps_

private

Definition at line 56 of file mtbrowniangenerator.hpp.

lastStep_

Size lastStep_ = 0

private

Definition at line 57 of file mtbrowniangenerator.hpp.

generator_

RandomSequenceGenerator<MersenneTwisterUniformRng> generator_

private

Definition at line 58 of file mtbrowniangenerator.hpp.

inverseCumulative_

InverseCumulativeNormal inverseCumulative_

private

Definition at line 59 of file mtbrowniangenerator.hpp.