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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_sobol_brownian_generator.html">SobolBrownianGenerator</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
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<div class="title">SobolBrownianGenerator Class Reference</div> </div>
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<p>Sobol Brownian generator for market-model simulations.
<a href="class_quant_lib_1_1_sobol_brownian_generator.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp></code></p>
<p>Inherits BrownianGenerator.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr class="memitem:a0248f65bd948236b9f656ce6c5d65355"><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355">Ordering</a> { <a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355a80d941f67956dd1f25b0c208987ddd31">Factors</a>,
<a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355a56c6baeb3f6de237e26365daff6ca73f">Steps</a>,
<a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355a1672896c50dec2b32ed9117cff36c49d">Diagonal</a>
}</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ac5dfcb8aa64d8ce8ad70052e4d0e9fc7"><td class="memItemLeft" align="right" valign="top"><a id="ac5dfcb8aa64d8ce8ad70052e4d0e9fc7"></a>
 </td><td class="memItemRight" valign="bottom"><b>SobolBrownianGenerator</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> factors, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, <a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355">Ordering</a> ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel)</td></tr>
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<tr class="memitem:a924332975ee95db8a63daf02e10d3bdc"><td class="memItemLeft" align="right" valign="top"><a id="a924332975ee95db8a63daf02e10d3bdc"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextPath</b> ()</td></tr>
<tr class="separator:a924332975ee95db8a63daf02e10d3bdc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5a8ee20027256cd968b0561e1bb071c9"><td class="memItemLeft" align="right" valign="top"><a id="a5a8ee20027256cd968b0561e1bb071c9"></a>
<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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfFactors</b> () const</td></tr>
<tr class="separator:a5aa885c06de2eea0c5caa8a1a317861d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9d1cf8d9e7aa612c66fee3a68fac3066"><td class="memItemLeft" align="right" valign="top"><a id="a9d1cf8d9e7aa612c66fee3a68fac3066"></a>
<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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const std::vector< std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > > & </td><td class="memItemRight" valign="bottom"><b>orderedIndices</b> () const</td></tr>
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<tr class="memitem:a07778a8e18549b87a04708a03ff8106e"><td class="memItemLeft" align="right" valign="top"><a id="a07778a8e18549b87a04708a03ff8106e"></a>
std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>transform</b> (const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &variates)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Sobol Brownian generator for market-model simulations. </p>
<p>Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging. </p>
</div><h2 class="groupheader">Member Enumeration Documentation</h2>
<a id="a0248f65bd948236b9f656ce6c5d65355"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a0248f65bd948236b9f656ce6c5d65355">◆ </a></span>Ordering</h2>
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<td class="memname">enum <a class="el" href="class_quant_lib_1_1_sobol_brownian_generator.html#a0248f65bd948236b9f656ce6c5d65355">Ordering</a></td>
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<tr><th colspan="2">Enumerator</th></tr><tr><td class="fieldname"><a id="a0248f65bd948236b9f656ce6c5d65355a80d941f67956dd1f25b0c208987ddd31"></a>Factors </td><td class="fielddoc"><p>The variates with the best quality will be used for the evolution of the first factor. </p>
</td></tr>
<tr><td class="fieldname"><a id="a0248f65bd948236b9f656ce6c5d65355a56c6baeb3f6de237e26365daff6ca73f"></a>Steps </td><td class="fielddoc"><p>The variates with the best quality will be used for the largest steps of all factors. </p>
</td></tr>
<tr><td class="fieldname"><a id="a0248f65bd948236b9f656ce6c5d65355a1672896c50dec2b32ed9117cff36c49d"></a>Diagonal </td><td class="fielddoc"><p>A diagonal schema will be used to assign the variates with the best quality to the most important factors and the largest steps. </p>
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