MTBrownianGenerator Class Reference

Mersenne-twister Brownian generator for market-model simulations. More...

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

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

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.