Class SobolBrownianGenerator

Sobol Brownian generator for market-model simulations

Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian bridging.

Hierarchy

BrownianGenerator
- SobolBrownianGenerator

Index

Enumerations

Ordering

Constructors

constructor

Methods

Constructors

constructor

new SobolBrownianGenerator(factors: Size, steps: Size, ordering: Ordering, seed: Integer, directionIntegers?: DirectionIntegers): SobolBrownianGenerator

- Defined in ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.ts:15
Parameters
- factors: Size
- steps: Size
- ordering: Ordering
- seed: Integer
- Default value directionIntegers: DirectionIntegers = SobolRsg.DirectionIntegers.Jaeckel
Returns SobolBrownianGenerator

Methods

nextPath

nextPath(): Real

Inherited from BrownianGenerator.nextPath
- Defined in ql/models/marketmodels/browniangenerator.ts:12
Returns Real

nextStep

nextStep(x: Real[]): Real

Inherited from BrownianGenerator.nextStep
- Defined in ql/models/marketmodels/browniangenerator.ts:9
Parameters
- x: Real[]
Returns Real

numberOfFactors

numberOfFactors(): Size

Inherited from BrownianGenerator.numberOfFactors
- Defined in ql/models/marketmodels/browniangenerator.ts:15
Returns Size

numberOfSteps

numberOfSteps(): Size

Inherited from BrownianGenerator.numberOfSteps
- Defined in ql/models/marketmodels/browniangenerator.ts:18
Returns Size