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SobolVectorDriver Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for SobolVectorDriver:

StochasticGenerator List of all members.

Detailed Description

Stochastic generator for a VectorProcess based on the Sobol sequence.

Definition at line 252 of file StochasticGenerator.h.

Public Member Functions

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


Constructor & Destructor Documentation

SobolVectorDriver::SobolVectorDriver int    n,
int    T_oo
[inline]
 

Parameters:
n size of Z-vector needed to drive one time step.
T_oo number of time steps to horizon.

Definition at line 262 of file StochasticGenerator.h.


Member Function Documentation

void SobolVectorDriver::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 matrix Z.

Reimplemented from StochasticGenerator.

void SobolVectorDriver::newWienerIncrements int    t,
int    s,
RealMatrix   Z
[virtual]
 

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

Reimplemented from StochasticGenerator.

void SobolVectorDriver::restart   [virtual]
 

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

Reimplemented from StochasticGenerator.

std::ostream& SobolVectorDriver::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