multipathgeneratorbase.hpp File Reference

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.

Detailed Description

base class for multi path generators