MultiPathGeneratorSobol Class Reference

Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More...

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorSobol:

Public Member Functions
	MultiPathGeneratorSobol (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
const Sample< MultiPath > &	next () const override
void	reset () override

Detailed Description

Instantiation of MultiPathGenerator with standard LowDiscrepancy traits.

no Brownian bridge provided, use MultiPathGeneratorSobolBrownianBridge for this, for the use of the seed, see ql/math/randomnumbers/sobolrsg.cpp

\ingroup methods