Struct SingleVariate<TRng>

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The default Monte Carlo traits for single-variate models: MonteCarloPath paths from a PathGenerator<TGsg> over the random-number traits' sequence generator.

public readonly struct SingleVariate<TRng> : IMcTraits<MonteCarloPath> where TRng : IRngTraits

Type Parameters

TRng

The random-number traits, PseudoRandom or LowDiscrepancy.

Implements

IMcTraits<MonteCarloPath>

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.GetType()

object.Equals(object, object)

object.ReferenceEquals(object, object)

Explicit Interface Implementations

AllowsErrorEstimate

Gets a value indicating whether the random numbers give an error estimate (pseudo-random ones do).

static bool AllowsErrorEstimate { get; }

Returns

bool

MakePathGenerator(StochasticProcess, TimeGrid, IRsg, bool)

A new path generator, QuantLib's path_generator_type, over a time grid.

static IPathGenerator<MonteCarloPath> MakePathGenerator(StochasticProcess process, TimeGrid timeGrid, IRsg generator, bool brownianBridge)

Parameters

process StochasticProcess

The process.

timeGrid TimeGrid

The time grid.

generator IRsg

The sequence generator, which the path generator copies.

brownianBridge bool

Whether the draws are ordered by a Brownian bridge.

Returns

IPathGenerator<MonteCarloPath>

A new path generator.

MakeSequenceGenerator(int, long)

The random-number traits' sequence generator, QuantLib's RNG::make_sequence_generator.

static IRsg MakeSequenceGenerator(int dimension, long seed)

Parameters

dimension int

The dimension.

seed long

The seed (explicit, 0 refused).

Returns

IRsg

A new generator.