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Sourcecode: quantlib version File versions

QuantLib::MTBrownianGenerator Class Reference

#include <mtbrowniangenerator.hpp>

Inheritance diagram for QuantLib::MTBrownianGenerator:

List of all members.


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.


Public Member Functions

 MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0)
Real nextPath ()
Real nextStep (std::vector< Real > &)
Size numberOfFactors () const
Size numberOfSteps () const

Private Attributes

Size factors_
RandomSequenceGenerator
< MersenneTwisterUniformRng
generator_
InverseCumulativeNormal inverseCumulative_
Size lastStep_
Size steps_

The documentation for this class was generated from the following files:

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