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) | 
Sobol Brownian generator for market-model simulations.
Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.
| enum Ordering |