MTBrownianGenerator (3) - Linux Manuals

MTBrownianGenerator: Mersenne-twister Brownian generator for market-model simulations.

NAME

QuantLib::MTBrownianGenerator - Mersenne-twister Brownian generator for market-model simulations.

SYNOPSIS

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

Inherits QuantLib::BrownianGenerator.

Public Member Functions

MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0)

Real nextStep (std::vector< Real > &)

Real nextPath ()

Size numberOfFactors () const

Size numberOfSteps () const

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.

Author

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