base class for multi path generators More...
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/methods/montecarlo/brownianbridge.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
#include <ql/methods/montecarlo/multipathgenerator.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
#include <ql/stochasticprocess.hpp>
Classes | |
class | MultiPathGeneratorBase |
Multi Path Generator Base. More... | |
class | MultiPathGeneratorMersenneTwister |
Instantiation of MultiPathGenerator with standard PseudoRandom traits. More... | |
class | MultiPathGeneratorMersenneTwisterAntithetic |
class | MultiPathGeneratorSobol |
Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More... | |
class | MultiPathGeneratorSobolBrownianBridge |
Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators. More... | |
Enumerations | |
enum | SequenceType { MersenneTwister , MersenneTwisterAntithetic , Sobol , SobolBrownianBridge } |
Functions | |
boost::shared_ptr< MultiPathGeneratorBase > | makeMultiPathGenerator (const SequenceType s, const boost::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7) |
Make function for path generators. | |
std::ostream & | operator<< (std::ostream &out, const SequenceType s) |
Output function. | |
base class for multi path generators