QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Types | Public Member Functions | List of all members
LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< PolarStudentTRng< URNG > >, dummy > Class Template Reference

Specialization for direct T samples generation. More...

#include <ql/experimental/math/latentmodel.hpp>

Public Types

typedef Sample< std::vector< Real > > sample_type
 

Public Member Functions

 FactorSampler (const TCopulaPolicy &copula, BigNatural seed=0)
 
const sample_typenextSequence () const
 

Detailed Description

template<class copulaPolicyImpl>
template<class URNG, bool dummy>
class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< PolarStudentTRng< URNG > >, dummy >

Specialization for direct T samples generation.

The PolarT is a rejection algorithm so do not use it within a multithreaded simulation. The RandomSequenceGenerator class does not admit heterogeneous distribution samples so theres a trick here since the template parameter is not what it is used internally.