SobolBrownianGenerator

NAME

SobolBrownianGenerator − Sobol Brownian generator for market-model simulations.

SYNOPSIS

#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.

Diagonal

A diagonal schema will be used to assign the variates with the best quality to the most important factors and the largest steps.

Author

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