multipathvariategenerator.hpp File Reference

multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function More...

#include <qle/methods/multipathgeneratorbase.hpp>

Classes
class	MultiPathVariateGeneratorBase
class	MultiPathVariateGeneratorMersenneTwister
class	MultiPathVariateGeneratorMersenneTwisterAntithetic
class	MultiPathVariateGeneratorSobol
class	MultiPathVariateGeneratorBurley2020Sobol
class	MultiPathVariateGeneratorSobolBrownianBridgeBase
class	MultiPathVariateGeneratorSobolBrownianBridge
class	MultiPathVariateGeneratorBurley2020SobolBrownianBridge

Functions
QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase >	makeMultiPathVariateGenerator (const SequenceType s, const Size dimension, const Size timeSteps, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7)

Detailed Description

multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function