StochasticCollocationInvCDF

NAME

StochasticCollocationInvCDF − Stochastic collocation inverse cumulative distribution function.

SYNOPSIS

#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>

Inherits unary_function< Real, Real >.

Public Member Functions

StochasticCollocationInvCDF (const boost::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Real value (Real x) const
Real operator() (Real u) const

Detailed Description

Stochastic collocation inverse cumulative distribution function.

References: L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee, The Stochastic Collocation Monte Carlo Sampler: Highly efficient sampling from “expensive” distributions http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691

Author

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