- QuantLib
- MTBrownianGenerator
Mersenne-twister Brownian generator for market-model simulations. More...
#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp>
Inherits BrownianGenerator.
Public Member Functions | |
MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) | |
Real | nextStep (std::vector< Real > &) |
Real | nextPath () |
Size | numberOfFactors () const |
Size | numberOfSteps () const |
Mersenne-twister Brownian generator for market-model simulations.
Incremental Brownian generator using a Mersenne-twister uniform generator and inverse-cumulative Gaussian method.