Class GaussianMultiPathGenerator

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

QuantLib-Python's GaussianMultiPathGenerator: a MultiPathGenerator<TGsg> over Mersenne-Twister Gaussian sequences, MultiPathGenerator<GaussianRandomSequenceGenerator>.

public sealed class GaussianMultiPathGenerator : MultiPathGenerator<InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>, IPathGenerator<MultiPath>

Inheritance

object

MultiPathGenerator<InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>

GaussianMultiPathGenerator

Implements

IPathGenerator<MultiPath>

Inherited Members

MultiPathGenerator<InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>.Next()

MultiPathGenerator<InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>.Antithetic()

MultiPathGenerator<InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>.Clone()

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A named class, a convenience; nanoql's own code uses the generic type.

Constructors

GaussianMultiPathGenerator(StochasticProcess, TimeGrid, InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>, bool)

Initializes a new instance of the GaussianMultiPathGenerator class.

public GaussianMultiPathGenerator(StochasticProcess process, TimeGrid times, InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal> generator, bool brownianBridge = false)

Parameters

process StochasticProcess

The process.

times TimeGrid

The time grid, of at least two times.

generator InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>

The sequence generator, which the path generator copies.

brownianBridge bool

Whether a Brownian bridge orders the draws: not supported.

Methods

Clone()

A copy: the sequence generator copied deeply, so the two draw independently from here on.

public override GaussianMultiPathGenerator Clone()

Returns

GaussianMultiPathGenerator

The copy.