InverseCumulativeRsg

Posted by andrea loddo-2 on
URL: http://quantlib.414.s1.nabble.com/InverseCumulativeRsg-tp937.html

Hi all,

What I need a random sequence generator that I instantiate in this way:

Size dimension = 3;
SobolRsg sobol ( dimension , 0 ) ;
InverseCumulativeNormal invCumNorm ( 0 , 1 ) ;
InverseCumulativeRsg<SobolRsg , InverseCumulativeNormal> myRSG ( sobol , invCumNorm ) ;

Everything works perfectly. The only thing I don't get is the concept of dimensionality. I would expect the member

x_.value

of myRSG to be an Array of 3 elements. The member n_,  which should be the dimension of the Array, is correctly set to 3 but apparently just one normal random number is generated. Is there any way to generate as many numbers as I need through the parameter dimension?

Any help will be appreciated.

Andrea.

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