Mersenne-twister Brownian generator for market-model simulations. More...
#include <ql/models/marketmodels/browniangenerators/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()
Implements BrownianGenerator.
Definition at line 29 of file mtbrowniangenerator.cpp.
Here is the call graph for this function:
◆ nextPath()
|
overridevirtual |
Implements BrownianGenerator.
Definition at line 45 of file mtbrowniangenerator.cpp.
Here is the call graph for this function:
◆ numberOfFactors()
|
overridevirtual |
Implements BrownianGenerator.
Definition at line 54 of file mtbrowniangenerator.cpp.
◆ numberOfSteps()
|
overridevirtual |
Implements BrownianGenerator.
Definition at line 56 of file mtbrowniangenerator.cpp.
Member Data Documentation
◆ factors_
|
private |
Definition at line 56 of file mtbrowniangenerator.hpp.
◆ steps_
|
private |
Definition at line 56 of file mtbrowniangenerator.hpp.
◆ lastStep_
|
private |
Definition at line 57 of file mtbrowniangenerator.hpp.
◆ generator_
|
private |
Definition at line 58 of file mtbrowniangenerator.hpp.
◆ inverseCumulative_
|
private |
Definition at line 59 of file mtbrowniangenerator.hpp.