Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

SobolScalarDriver Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for SobolScalarDriver:

StochasticGenerator List of all members.

Detailed Description

Stochastic generator for a ScalarProcess based on the Sobol sequence.

Definition at line 318 of file StochasticGenerator.h.

Public Member Functions

 SobolScalarDriver (int T_oo)
void newWienerIncrements (int t, int s, Real *Z)
void restart ()
std::ostream & printSelf (std::ostream &os) const


Constructor & Destructor Documentation

SobolScalarDriver::SobolScalarDriver int    T_oo [inline]
 

Parameters:
T_oo number of time steps to horizon.

Definition at line 326 of file StochasticGenerator.h.


Member Function Documentation

void SobolScalarDriver::newWienerIncrements int    t,
int    s,
Real   Z
[virtual]
 

Writes standard normal deviates needed to drive one path path from discrete time t to discrete time s into the vector Z.

Reimplemented from StochasticGenerator.

void SobolScalarDriver::restart   [virtual]
 

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

Reimplemented from StochasticGenerator.

std::ostream& SobolScalarDriver::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