QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Files | |
file | boxmullergaussianrng.hpp [code] |
Box-Muller Gaussian random-number generator. | |
file | burley2020sobolrsg.cpp [code] |
file | burley2020sobolrsg.hpp [code] |
scrambled Sobol sequence following Burley, 2020 | |
file | centrallimitgaussianrng.hpp [code] |
Central limit Gaussian random-number generator. | |
file | faurersg.cpp [code] |
file | faurersg.hpp [code] |
Faure low-discrepancy sequence generator. | |
file | haltonrsg.cpp [code] |
file | haltonrsg.hpp [code] |
Halton low-discrepancy sequence generator. | |
file | inversecumulativerng.hpp [code] |
Inverse cumulative Gaussian random-number generator. | |
file | inversecumulativersg.hpp [code] |
Inverse cumulative random sequence generator. | |
file | knuthuniformrng.cpp [code] |
file | knuthuniformrng.hpp [code] |
Knuth uniform random number generator. | |
file | latticersg.cpp [code] |
lattice rule code for low discrepancy numbers | |
file | latticersg.hpp [code] |
lattice rule code for low discrepancy numbers | |
file | latticerules.cpp [code] |
file | latticerules.hpp [code] |
file | lecuyeruniformrng.cpp [code] |
file | lecuyeruniformrng.hpp [code] |
L'Ecuyer uniform random number generator. | |
file | mt19937uniformrng.cpp [code] |
file | mt19937uniformrng.hpp [code] |
Mersenne Twister uniform random number generator. | |
file | primitivepolynomials.cpp [code] |
file | primitivepolynomials.hpp [code] |
file | randomizedlds.hpp [code] |
Randomized low-discrepancy sequence. | |
file | randomsequencegenerator.hpp [code] |
Random sequence generator based on a pseudo-random number generator. | |
file | ranluxuniformrng.hpp [code] |
"Luxury" random number generator. | |
file | rngtraits.hpp [code] |
random-number generation policies | |
file | seedgenerator.cpp [code] |
file | seedgenerator.hpp [code] |
Random seed generator. | |
file | sobolbrownianbridgersg.cpp [code] |
file | sobolbrownianbridgersg.hpp [code] |
interface class to map the functionality of SobolBrownianGenerator to the "conventional" sequence generator interface | |
file | sobolrsg.cpp [code] |
file | sobolrsg.hpp [code] |
Sobol low-discrepancy sequence generator. | |
file | stochasticcollocationinvcdf.cpp [code] |
file | stochasticcollocationinvcdf.hpp [code] |
file | xoshiro256starstaruniformrng.cpp [code] |
file | xoshiro256starstaruniformrng.hpp [code] |
xoshiro256** uniform random number generator | |
file | zigguratgaussianrng.hpp [code] |
Ziggurat Gaussian random-number generator. | |