> From:
[hidden email]> To:
[hidden email]> CC:
[hidden email]> Date: Wed, 13 Jul 2011 11:39:21 +0200
>
>
> You can define the sequence generator like you were trying to do
> previously. In this case, the dimension you'll have to pass will be the
> number of steps in the path, since that's how many random numbers you'll
> need to generate each path.
>
> Luigi
>
>
> On Wed, 2011-07-13 at 08:56 +0000, YuHong wrote:
> >
> > 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?"
> > >
> > >
> >
>
> --
>
> Everything that can be invented has been invented.
> -- Charles Duell, Director of U.S. Patent Office, 1899
>
>