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
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.