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<h1>MTBrownianGenerator Class Reference</h1><!-- doxytag: class="QuantLib::MTBrownianGenerator" --><!-- doxytag: inherits="QuantLib::BrownianGenerator" --><code>#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp></code>
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Inherits BrownianGenerator.
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<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>
Mersenne-twister Brownian generator for market-model simulations.
<p>
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" title="Random sequence generator based on a pseudo-random number generator.">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>
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<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> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> factors, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, unsigned long seed=0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a8ee20027256cd968b0561e1bb071c9"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::nextStep" ref="5a8ee20027256cd968b0561e1bb071c9" args="(std::vector< Real > &)" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextStep</b> (std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</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="5a984db39a3d1f2e80e8a889cd279e27"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::numberOfFactors" ref="5a984db39a3d1f2e80e8a889cd279e27" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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="ed640b8d340edab41683b6aadd89665b"></a><!-- doxytag: member="QuantLib::MTBrownianGenerator::numberOfSteps" ref="ed640b8d340edab41683b6aadd89665b" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const </td></tr>
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