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StochasticGenerator Class Reference

#include <StochasticGenerator.h>

Inheritance diagram for StochasticGenerator:

MonteCarloLiborDriver MonteCarloScalarDriver MonteCarloVectorDriver SobolLiborDriver SobolScalarDriver SobolVectorDriver List of all members.

Detailed Description

Interface. Provides routines to fill a vector, respectively matrix with standard normal deviates needed to drive a simulation. Empty default implementations provided to admit selective redefinition.

The purpose of this is to switch between pseudo random dynamics based on a random number generator (MC) and quasi random dynamics based on a low discrepancy sequence (QMC) by simply assigning a corresponding generator object.

Author:
Michael J. Meyer

Definition at line 89 of file StochasticGenerator.h.

Public Member Functions

 StochasticGenerator (int m=1)
virtual void newWienerIncrements (int t, int T, RealVector &Z)
virtual void newWienerIncrements (int t, int T, Real *Z)
virtual void newWienerIncrements (int t, int T, UTRRealMatrix &Z)
virtual void newWienerIncrements (int t, int T, RealMatrix &Z)
virtual void newWienerIncrements (int t, int T, RealArray2D &Z)
virtual void newWienerIncrements (int t, int T, Real **Z)
virtual void restart ()
virtual std::ostream & printSelf (std::ostream &os) const

Protected Attributes

int n


Constructor & Destructor Documentation

StochasticGenerator::StochasticGenerator int    m = 1 [inline]
 

Parameters:
m size of vector needed to drive one time step, default = 1.

Definition at line 101 of file StochasticGenerator.h.


Member Function Documentation

virtual void StochasticGenerator::newWienerIncrements int    t,
int    T,
RealVector   Z
[inline, virtual]
 

Writes standard normal deviates needed to drive a simulation from discrete time t to discrete time T into the vector Z. Z must have zero based index.

Definition at line 110 of file StochasticGenerator.h.

Referenced by BrownianScalarProcess::newPathSegment(), and BrownianVectorProcess::newPathSegment().

virtual void StochasticGenerator::newWienerIncrements int    t,
int    T,
Real   Z
[inline, virtual]
 

Writes standard normal deviates needed to drive a simulation from discrete time t to discrete time T into the vector Z. Z must have zero based index.

Reimplemented in MonteCarloScalarDriver, and SobolScalarDriver.

Definition at line 116 of file StochasticGenerator.h.

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

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

Reimplemented in MonteCarloLiborDriver, and SobolLiborDriver.

Definition at line 122 of file StochasticGenerator.h.

virtual void StochasticGenerator::newWienerIncrements int    t,
int    T,
RealMatrix   Z
[inline, virtual]
 

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

Reimplemented in MonteCarloVectorDriver, and SobolVectorDriver.

Definition at line 128 of file StochasticGenerator.h.

virtual void StochasticGenerator::newWienerIncrements int    t,
int    T,
RealArray2D   Z
[inline, virtual]
 

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

Definition at line 134 of file StochasticGenerator.h.

virtual void StochasticGenerator::newWienerIncrements int    t,
int    T,
Real **    Z
[inline, virtual]
 

Writes standard normal deviates needed to drive a simulation from discrete time t to discrete time T into the matrix Z. Z must have zero based index.

Reimplemented in MonteCarloVectorDriver, and SobolVectorDriver.

Definition at line 140 of file StochasticGenerator.h.

virtual void StochasticGenerator::restart   [inline, virtual]
 

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

Reimplemented in SobolLiborDriver, SobolVectorDriver, and SobolScalarDriver.

Definition at line 145 of file StochasticGenerator.h.

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

Message and fields.

Reimplemented in MonteCarloLiborDriver, SobolLiborDriver, MonteCarloVectorDriver, SobolVectorDriver, MonteCarloScalarDriver, and SobolScalarDriver.


Member Data Documentation

int StochasticGenerator::n [protected]
 

Definition at line 93 of file StochasticGenerator.h.

Referenced by MonteCarloLiborDriver::MonteCarloLiborDriver(), MonteCarloVectorDriver::MonteCarloVectorDriver(), and SobolLiborDriver::SobolLiborDriver().


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