QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Types | Public Member Functions | List of all members
SobolBrownianGenerator Class Reference

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

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

Inherits BrownianGenerator.

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 ()
 
Real nextStep (std::vector< Real > &)
 
Size numberOfFactors () const
 
Size numberOfSteps () const
 
const std::vector< std::vector< Size > > & orderedIndices () const
 
std::vector< std::vector< Real > > transform (const std::vector< std::vector< Real > > &variates)
 

Detailed Description

Sobol Brownian generator for market-model simulations.

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

Member Enumeration Documentation

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.