#include <Random.h>
Public Member Functions | |
Random (LongNatural Dimensionality, RandomGenerator *rndGen) | |
Default constructor: set dimension. | |
Random (RandomGenerator *rndGen) | |
LongNatural | GetDimensionality () const |
Return dimension. | |
Random * | clone () const |
Clone function. | |
void | GetUniforms (valarray< Real > &variates) |
Get uniforms Real. | |
void | GetUniform (Real &variate) |
void | Skip (LongNatural numberOfPaths) |
void | SetSeed (LongNatural Seed) |
void | Reset () |
void | GetGaussians (valarray< Real > &variates) |
Get gaussian random numbers. | |
void | GetGaussian (Real &variate) |
void | ResetDimensionality (LongNatural NewDimensionality) |
Private Attributes | |
RandomGenerator * | InnerGenerator |
LongNatural | Dimensionality |
LongNatural | InitialSeed |
Real | Reciprocal |
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Default constructor: set dimension.
Definition at line 3 of file Random.cpp. References InnerGenerator, and LongNatural. Referenced by clone(). |
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Definition at line 10 of file Random.cpp. References Dimensionality, and InnerGenerator. |
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Clone function.
Definition at line 15 of file Random.cpp. References Random(). |
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Return dimension.
Definition at line 50 of file Random.h. References Dimensionality, and LongNatural. Referenced by GetUniforms(), and Skip(). |
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Definition at line 66 of file Random.h. References GetUniform(), InverseCumulativeNormal(), and Real. Referenced by MCEngine::RunEngineRainbow2AssetsBasketMax(), MCEngine::RunEngineRainbow2SpreadOptionMax(), MCEngine::RunEngineRainbowBestOf2AssetsCash(), MCEngine::RunEngineRainbowMax2AssetsCall(), MCEngine::RunEngineRainbowMax2AssetsPut(), MCEngine::RunEngineRainbowMin2AssetsCall(), MCEngine::RunEngineRainbowMin2AssetsPut(), and MCEngine::RunEngineRainbowWorstOf2AssetsCash(). |
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Get gaussian random numbers.
Definition at line 55 of file Random.h. References Dimensionality, GetUniforms(), InverseCumulativeNormal(), LongNatural, and Real. Referenced by MCEngine::RunEngineAsianCall(), MCEngine::RunEngineAsianPut(), MCEngine::RunEngineBarrierCall(), MCEngine::RunEngineBarrierPut(), MCEngine::RunEngineCall(), MCEngine::RunEngineCappedCliquet(), MCEngine::RunEngineFlooredCliquet(), MCEngine::RunEnginePut(), MCEngine::RunEngineRevLookbackCall(), and MCEngine::RunEngineRevLookbackPut(). |
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Definition at line 26 of file Random.cpp. References RandomGenerator::getUniform(), InnerGenerator, and Real. Referenced by GetGaussian(). |
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Get uniforms Real.
Definition at line 20 of file Random.cpp. References GetDimensionality(), RandomGenerator::getUniform(), InnerGenerator, and LongNatural. Referenced by GetGaussians(), and Skip(). |
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Definition at line 44 of file Random.cpp. References InitialSeed, InnerGenerator, and RandomGenerator::SetSeed(). |
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Definition at line 50 of file Random.cpp. References Dimensionality, InitialSeed, InnerGenerator, LongNatural, and RandomGenerator::SetSeed(). |
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Definition at line 38 of file Random.cpp. References InitialSeed, InnerGenerator, LongNatural, and RandomGenerator::SetSeed(). Referenced by RainbowOption::instanciateMCVariables(), and mainmc(). |
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Definition at line 31 of file Random.cpp. References GetDimensionality(), GetUniforms(), and LongNatural. |
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Definition at line 45 of file Random.h. Referenced by GetDimensionality(), GetGaussians(), Random(), and ResetDimensionality(). |
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Definition at line 46 of file Random.h. Referenced by Reset(), ResetDimensionality(), and SetSeed(). |
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Definition at line 44 of file Random.h. Referenced by GetUniform(), GetUniforms(), Random(), Reset(), ResetDimensionality(), and SetSeed(). |
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