QuantLib: SobolBrownianBridgeRsg Class Reference

#include <sobolbrownianbridgersg.hpp>

Collaboration diagram for SobolBrownianBridgeRsg:

Public Types
typedef Sample< std::vector< Real > >	sample_type

Public Member Functions
	SobolBrownianBridgeRsg (Size factors, Size steps, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Diagonal, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)

const sample_type &	nextSequence () const

const sample_type &	lastSequence () const

Size	dimension () const

Private Attributes
sample_type	seq_

SobolBrownianGenerator	gen_

Detailed Description

Definition at line 32 of file sobolbrownianbridgersg.hpp.

Member Typedef Documentation

◆ sample_type

typedef Sample<std::vector<Real> > sample_type

Definition at line 34 of file sobolbrownianbridgersg.hpp.

Constructor & Destructor Documentation

◆ SobolBrownianBridgeRsg()

SobolBrownianBridgeRsg	(	Size	factors,
		Size	steps,
		SobolBrownianGenerator::Ordering	ordering = `SobolBrownianGenerator::Diagonal`,
		unsigned long	seed = `0`,
		SobolRsg::DirectionIntegers	directionIntegers = `SobolRsg::JoeKuoD7`
	)

Definition at line 40 of file sobolbrownianbridgersg.cpp.

Member Function Documentation

◆ nextSequence()

const SobolBrownianBridgeRsg::sample_type & nextSequence ( ) const

Definition at line 49 of file sobolbrownianbridgersg.cpp.

◆ lastSequence()

const SobolBrownianBridgeRsg::sample_type & lastSequence ( ) const

Definition at line 56 of file sobolbrownianbridgersg.cpp.

◆ dimension()

Size dimension ( ) const

Definition at line 60 of file sobolbrownianbridgersg.cpp.

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Member Data Documentation

◆ seq_

sample_type seq_

mutableprivate

Definition at line 48 of file sobolbrownianbridgersg.hpp.

◆ gen_

SobolBrownianGenerator gen_