Random Class Reference

#include <Random.h>

List of all members.

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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Constructor & Destructor Documentation

Random::Random (  LongNatural  Dimensionality, RandomGenerator *  rndGen )

Default constructor: set dimension. Definition at line 3 of file Random.cpp. References InnerGenerator, and LongNatural. Referenced by clone().

Random::Random (  RandomGenerator *  rndGen  )

Author: Yann if dimension 1 - ne need to specifty dimensionality Definition at line 10 of file Random.cpp. References Dimensionality, and InnerGenerator.

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Member Function Documentation

Random * Random::clone (   )  const

Clone function. Definition at line 15 of file Random.cpp. References Random().

LongNatural Random::GetDimensionality (   )  const [inline]

Return dimension. Definition at line 50 of file Random.h. References Dimensionality, and LongNatural. Referenced by GetUniforms(), and Skip().

void Random::GetGaussian (  Real &  variate  )  [inline]

Author: Yann - Get gaussian random number in a Real to avoid array 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().

void Random::GetGaussians (  valarray< Real > &  variates  )  [inline]

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().

void Random::GetUniform (  Real &  variate  )

Author: Yann - Get uniform in a Real to avoid arrays Definition at line 26 of file Random.cpp. References RandomGenerator::getUniform(), InnerGenerator, and Real. Referenced by GetGaussian().

void Random::GetUniforms (  valarray< Real > &  variates  )  [inline]

Get uniforms Real. Definition at line 20 of file Random.cpp. References GetDimensionality(), RandomGenerator::getUniform(), InnerGenerator, and LongNatural. Referenced by GetGaussians(), and Skip().

void Random::Reset (   )

Definition at line 44 of file Random.cpp. References InitialSeed, InnerGenerator, and RandomGenerator::SetSeed().

void Random::ResetDimensionality (  LongNatural  NewDimensionality  )

Definition at line 50 of file Random.cpp. References Dimensionality, InitialSeed, InnerGenerator, LongNatural, and RandomGenerator::SetSeed().

void Random::SetSeed (  LongNatural  Seed  )

Definition at line 38 of file Random.cpp. References InitialSeed, InnerGenerator, LongNatural, and RandomGenerator::SetSeed(). Referenced by RainbowOption::instanciateMCVariables(), and mainmc().

void Random::Skip (  LongNatural  numberOfPaths  )

Definition at line 31 of file Random.cpp. References GetDimensionality(), GetUniforms(), and LongNatural.

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Member Data Documentation

LongNatural Random::Dimensionality [private]

Definition at line 45 of file Random.h. Referenced by GetDimensionality(), GetGaussians(), Random(), and ResetDimensionality().

LongNatural Random::InitialSeed [private]

Definition at line 46 of file Random.h. Referenced by Reset(), ResetDimensionality(), and SetSeed().

RandomGenerator* Random::InnerGenerator [private]

Definition at line 44 of file Random.h. Referenced by GetUniform(), GetUniforms(), Random(), Reset(), ResetDimensionality(), and SetSeed().

Real Random::Reciprocal [private]

Definition at line 47 of file Random.h.

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The documentation for this class was generated from the following files:

• Random.h
• Random.cpp

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