MultiPathGeneratorSobolBrownianBridge Class Reference

Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators. More...

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorSobolBrownianBridge:

Public Member Functions
	MultiPathGeneratorSobolBrownianBridge (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
void	reset () override final
Public Member Functions inherited from MultiPathGeneratorSobolBrownianBridgeBase
	MultiPathGeneratorSobolBrownianBridgeBase (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, BigNatural seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)
const Sample< MultiPath > &	next () const override

Additional Inherited Members
Protected Attributes inherited from MultiPathGeneratorSobolBrownianBridgeBase
const QuantLib::ext::shared_ptr< StochasticProcess >	process_
TimeGrid	grid_
SobolBrownianGenerator::Ordering	ordering_
BigNatural	seed_
SobolRsg::DirectionIntegers	directionIntegers_
QuantLib::ext::shared_ptr< SobolBrownianGeneratorBase >	gen_
Sample< MultiPath >	next_
QuantLib::ext::shared_ptr< StochasticProcess1D >	process1D_

Detailed Description

Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators.