1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: MTBrownianGenerator Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_m_t_brownian_generator.html">MTBrownianGenerator</a></div>
<h1>MTBrownianGenerator Class Reference</h1><!-- doxytag: class="QuantLib::MTBrownianGenerator" --><!-- doxytag: inherits="QuantLib::BrownianGenerator" --><code>#include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp></code>
<p>
<a href="class_quant_lib_1_1_m_t_brownian_generator-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Incremental Brownian generator using a Mersenne-twister uniform generator and inverse-cumulative Gaussian method.<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>At this time, generation of the underlying uniform sequence is eager, while its transformation into Gaussian variates is lazy. Further optimization might be possible by using the Mersenne twister directly instead of a <a class="el" href="class_quant_lib_1_1_random_sequence_generator.html">RandomSequenceGenerator</a>; however, it is not clear how much of a difference this would make when compared to the inverse-cumulative Gaussian calculation. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ce032769d4c059283496dd6aa3b75767"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::MTBrownianGenerator" ref="ce032769d4c059283496dd6aa3b75767" args="(Size factors, Size steps, unsigned long seed=0)" -->
</td><td class="memItemRight" valign="bottom"><b>MTBrownianGenerator</b> (Size factors, Size steps, unsigned long seed=0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa8108654d3f772bbdf84f21f8c2ba6a"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::nextStep" ref="fa8108654d3f772bbdf84f21f8c2ba6a" args="(Array &)" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextStep</b> (<a class="el" href="class_quant_lib_1_1_array.html">Array</a> &)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="924332975ee95db8a63daf02e10d3bdc"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::nextPath" ref="924332975ee95db8a63daf02e10d3bdc" args="()" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextPath</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5aa885c06de2eea0c5caa8a1a317861d"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::numberOfFactors" ref="5aa885c06de2eea0c5caa8a1a317861d" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><b>numberOfFactors</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d1cf8d9e7aa612c66fee3a68fac3066"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::numberOfSteps" ref="9d1cf8d9e7aa612c66fee3a68fac3066" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const</td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
