QuantLib_RandomSequenceGenerator

Langue: en

Autres versions - même langue

Version: 381033 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::RandomSequenceGenerator -

Random sequence generator based on a pseudo-random number generator.

SYNOPSIS


#include <ql/math/randomnumbers/randomsequencegenerator.hpp>

Public Types


typedef Sample< std::vector< Real > > sample_type

Public Member Functions


RandomSequenceGenerator (Size dimensionality, const RNG &rng)

RandomSequenceGenerator (Size dimensionality, BigNatural seed=0)

const sample_type & nextSequence () const

std::vector< BigNatural > nextInt32Sequence () const

const sample_type & lastSequence () const

Size dimension () const

Detailed Description

template<class RNG> class QuantLib::RandomSequenceGenerator< RNG >

Random sequence generator based on a pseudo-random number generator.

Random sequence generator based on a pseudo-random number generator RNG.

Class RNG must implement the following interface:

             RNG::sample_type RNG::next() const;

Warning

do not use with low-discrepancy sequence generator.

Author

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