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SobolLiborDriver Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for SobolLiborDriver:

StochasticGenerator List of all members.

Detailed Description

Stochastic generator for a LiborProcess based on the Sobol sequence.

Definition at line 189 of file StochasticGenerator.h.

Public Member Functions

 SobolLiborDriver (int n)
void newWienerIncrements (int t, int T, UTRRealMatrix &Z)
void restart ()
std::ostream & printSelf (std::ostream &os) const


Constructor & Destructor Documentation

SobolLiborDriver::SobolLiborDriver int    n [inline]
 

Definition at line 195 of file StochasticGenerator.h.

References StochasticGenerator::n.


Member Function Documentation

void SobolLiborDriver::newWienerIncrements int    t,
int    T,
UTRRealMatrix   Z
[virtual]
 

Writes standard normal deviates needed to drive a Libor path simulation from discrete time t to discrete time T into the upper triangular matrix Z. Z must have zero based indices.

Reimplemented from StochasticGenerator.

void SobolLiborDriver::restart   [virtual]
 

Restarts the generator. Necessary for low discrepancy sequences. Default implementation: empty, suitable for random number generators.

Reimplemented from StochasticGenerator.

std::ostream& SobolLiborDriver::printSelf std::ostream &    os const [virtual]
 

String identifying the generator.

Reimplemented from StochasticGenerator.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3