Class SobolBrownianGenerator

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The Sobol Brownian generator for market-model simulations: each path a 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 SobolBrownianGenerator : SobolBrownianGeneratorBase

Inheritance

object

BrownianGenerator

SobolBrownianGeneratorBase

SobolBrownianGenerator

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. Its seed is explicit, in [1, 4294967295], as SobolRsg takes it: QuantLib's default 0 draws one from the clock.

Constructors

SobolBrownianGenerator(int, int, SobolBrownianGeneratorBaseOrdering, long, SobolRsgDirectionIntegers)

Initializes a new instance of the SobolBrownianGenerator class.

public SobolBrownianGenerator(int factors, int steps, SobolBrownianGeneratorBaseOrdering ordering, long seed, SobolRsgDirectionIntegers directionIntegers = SobolRsgDirectionIntegers.Jaeckel)

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.

Exceptions

ArgumentOutOfRangeException

factors or steps is below 1, their product is outside the Sobol sequence's dimensions, or ordering, seed or directionIntegers 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.