Interface IRngTraits

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

QuantLib's random-number traits concept (PseudoRandom, LowDiscrepancy): whether the generators allow an error estimate, and how to build the sequence generator a Monte Carlo engine draws from.

public interface IRngTraits

Remarks

A Monte Carlo engine keeps QuantLib's one traits parameter, where TTraits : struct, IRngTraits, and draws from the type-erased IRsg this returns. Called on a traits struct itself, MakeSequenceGenerator returns the closed generic, QuantLib's rsg_type.

Properties

AllowsErrorEstimate

Gets a value indicating whether the generators' samples allow an error estimate.

public static abstract bool AllowsErrorEstimate { get; }

Property Value

bool

Methods

MakeSequenceGenerator(int, long)

Builds a sequence generator (QuantLib's make_sequence_generator).

public static abstract IRsg MakeSequenceGenerator(int dimension, long seed)

Parameters

dimension int

The dimension of each sequence.

seed long

The seed, in [1, 4294967295].

Returns

IRsg

The sequence generator.