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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_m_t_brownian_generator.html">MTBrownianGenerator</a></li> </ul>
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<div class="title">MTBrownianGenerator Class Reference</div> </div>
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<p>Mersenne-twister Brownian generator for market-model simulations.
<a href="class_quant_lib_1_1_m_t_brownian_generator.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp></code></p>
<p>Inherits BrownianGenerator.</p>
<table class="memberdecls">
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>MTBrownianGenerator</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> factors, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, unsigned long seed=0)</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextStep</b> (std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &)</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextPath</b> ()</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfFactors</b> () const</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Mersenne-twister Brownian generator for market-model simulations. </p>
<p>Incremental Brownian generator using a Mersenne-twister uniform generator and inverse-cumulative Gaussian method.</p>
<dl class="section note"><dt>Note</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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