IsotropicRandomWalk< Distribution, Engine > Class Template Reference

Isotropic random walk. More...

#include <ql/experimental/math/isotropicrandomwalk.hpp>

Public Types
typedef boost::variate_generator< Engine, Distribution >	VariateGenerator

Public Member Functions
	IsotropicRandomWalk (const Engine &eng, Distribution dist, Size dim, const Array &weights=Array(), unsigned long seed=0)
template<class InputIterator >
void	nextReal (InputIterator first) const
void	setDimension (Size dim)
void	setDimension (Size dim, const Array &weights)
void	setDimension (Size dim, const Array &lowerBound, const Array &upperBound)

Protected Attributes
VariateGenerator	variate_
MersenneTwisterUniformRng	rng_
Array	weights_
Size	dim_

Detailed Description

template<class Distribution, class Engine>
class QuantLib::IsotropicRandomWalk< Distribution, Engine >

Isotropic random walk.

A variate is used to draw from a random element of a probability distribution. The draw corresponds to the radius of a d-dimensional sphere. The position on the surface of the d-dimensional sphere is randomly chosen with all points on the surface having the same probability, i.e. all directions are isotropic and the step is randomly drawn from the given variate.

Member Function Documentation

setDimension()

void setDimension	(	Size	dim,
		const Array &	lowerBound,
		const Array &	upperBound
	)

The isotropic random walk will not adjust its draw to be within the lower and upper bounds, but if the limits are provided, they are used to rescale the sphere so as to make it to an ellipsoid, with different radius in different dimensions.