Class Burley2020SobolBrownianGenerator

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The Brownian generator on Burley's scrambled Sobol sequence for market-model simulations: each path a scrambled Sobol sequence of the factors times the steps, turned into Gaussian variates by the inverse cumulative normal and Brownian-bridged by the base's ordering.

[WorkingType]
public sealed class Burley2020SobolBrownianGenerator : SobolBrownianGeneratorBase

Inheritance

object

BrownianGenerator

SobolBrownianGeneratorBase

Burley2020SobolBrownianGenerator

Inherited Members

SobolBrownianGeneratorBase.NextPath()

SobolBrownianGeneratorBase.NextStep(Span<double>)

SobolBrownianGeneratorBase.Transform(IReadOnlyList<IReadOnlyList<double>>)

SobolBrownianGeneratorBase.NumberOfFactors

SobolBrownianGeneratorBase.NumberOfSteps

SobolBrownianGeneratorBase.OrderedIndices

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type. Both seeds are explicit, in [1, 4294967295], as Burley2020SobolRsg takes them; QuantLib's defaults are 42 and 43.

Constructors

Burley2020SobolBrownianGenerator(int, int, SobolBrownianGeneratorBaseOrdering, long, SobolRsgDirectionIntegers, long)

Initializes a new instance of the Burley2020SobolBrownianGenerator class.

public Burley2020SobolBrownianGenerator(int factors, int steps, SobolBrownianGeneratorBaseOrdering ordering, long seed, SobolRsgDirectionIntegers directionIntegers, long scrambleSeed)

Parameters

factors int

The number of factors each step draws, at least 1.

steps int

The number of steps each path draws, at least 1.

ordering SobolBrownianGeneratorBaseOrdering

How the variates are assigned to the factors and steps.

seed long

The Sobol sequence's seed, in [1, 4294967295].

directionIntegers SobolRsgDirectionIntegers

The Sobol sequence's direction integers.

scrambleSeed long

The scrambling's seed, in [1, 4294967295].

Exceptions

ArgumentOutOfRangeException

factors or steps is below 1, their product is outside the sequence's dimensions, or the ordering, a seed or the direction integers is out of range.

Methods

NextSequence()

The next sequence of Gaussian variates, of the factors times the steps.

protected override Sample<ReadOnlyMemory<double>> NextSequence()

Returns

Sample<ReadOnlyMemory<double>>

The sequence and its weight, a view valid until the next draw.