Interface IRandomWalkDistribution

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A distribution an isotropic random walk draws its step's radius from, over a 32-bit Mersenne Twister: QuantLib's Distribution template parameter, "compatible with std::mt19937".

[Experimental("NQL0001")]
public interface IRandomWalkDistribution

Remarks

An extension point, as in QuantLib. A distribution may keep state between draws, as std::normal_distribution keeps its second value; Clone() copies it.

Methods

Clone()

A copy, its state included: the copy's next draw on an equal engine equals this one's.

IRandomWalkDistribution Clone()

Returns

IRandomWalkDistribution

The copy.

Next(MersenneTwisterUniformRng)

The next draw (QuantLib's operator()(Engine&)).

double Next(MersenneTwisterUniformRng engine)

Parameters

engine MersenneTwisterUniformRng

The engine, std::mt19937's twin, which the draw advances.

Returns

double

The draw.