SobolBrownianGeneratorBase Class Reference

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

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

Public Types
enum	Ordering { Factors , Steps , Diagonal }

Public Member Functions
	SobolBrownianGeneratorBase (Size factors, Size steps, Ordering ordering)
Real	nextPath () override
Real	nextStep (std::vector< Real > &) override
Size	numberOfFactors () const override
Size	numberOfSteps () const override
const std::vector< std::vector< Size > > &	orderedIndices () const
std::vector< std::vector< Real > >	transform (const std::vector< std::vector< Real > > &variates)

Protected Member Functions
virtual const SobolRsg::sample_type &	nextSequence ()=0

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

Ordering

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.