Re: RandomSequenceGenerator<RNG>: 'dimensionality'

Posted by YuHong-4 on
URL: http://quantlib.414.s1.nabble.com/RandomSequenceGenerator-RNG-dimensionality-tp913p915.html


Thanks for the suggestion!  So I'd rather present a more important question:

??? usg;
InverseCumulativeRsg<USG,InverseCumulativeNormal>   gsg( ?usg? );
      
In the above code, I wish to define 'gsg', an instance of class InverseCumulativeRsg<USG, InverseCumulativeNorma>.  'gsg' will later be used in PathGenerator instance for GeometricBrownianMotionProcess simulation.  The 'gsg' constructor needs parameter 'usg' of USG type, a uniformSequenceGenerator with class method 'dimension()'. 

May I ask, how to define the uniformSequenceGenerator 'usg' by using QuantLib?  Thanks a lot!

Regards,

Hong Yu



> Subject: Re: [Quantlib-users] RandomSequenceGenerator<RNG>: 'dimensionality'

> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]
> Date: Wed, 13 Jul 2011 10:37:07 +0200
>
> On Wed, 2011-07-13 at 08:01 +0000, YuHong wrote:
> >
> > I am trying to create a uniformly distributed random sequence
> > generator via the following code:
> >
> > srand( time(NULL) );
> > Ranlux3UniformRng u01_rng( rand() );
> > RandomSequenceGenerator<Ranlux3UniformRng>
> > u01_generator( ?dimensionality?, u01_rng );
> >
> > In the above code line-3, I need to specify the 'dimensionality'
> > parameter. May I ask, what does the 'dimensionality' parameter mean,
> > and how to determine the correct parameter value? Thanks a lot!
>
> The RandomSequenceGenerator is for generating tuples (the word
> 'sequence' might be misleading there.) The dimensionality is the size
> of each tuple you want to be generated. As Obi-Wan Kenobi once said,
> these are not the droids you're looking for.
>
> In your case, you can just use the Ranlux3UniformRng you instantiated
> and call next() repeatedly.
>
> Luigi
>
>
> --
>
> Brady's First Law of Problem Solving:
> When confronted by a difficult problem, you can solve it more
> easily by reducing it to the question, "How would the Lone
> Ranger have handled this?"
>
>

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