MultiPathGeneratorBurley2020Sobol Class Reference

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

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorBurley2020Sobol:

Public Member Functions
	MultiPathGeneratorBurley2020Sobol (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, BigNatural seed=42, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, BigNatural scrambleSeed=43)
const Sample< MultiPath > &	next () const override
void	reset () override
const TimeGrid &	timeGrid () const 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

Member Function Documentation

next()

const Sample< MultiPath > & next ( ) const

overridevirtual

Implements MultiPathGeneratorBase.

reset()

void reset ( )

overridevirtual

Implements MultiPathGeneratorBase.

timeGrid()

const TimeGrid & timeGrid ( ) const

overridevirtual

Implements MultiPathGeneratorBase.