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Steps: Sobol Brownian generator for market-model simulations.

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NAME

QuantLib::SobolBrownianGenerator - Sobol Brownian generator for market-model simulations.

SYNOPSIS

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

Inherits QuantLib::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

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

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.

Author

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