QuantLib: StochasticCollocationInvCDF Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
StochasticCollocationInvCDF Class Reference

Stochastic collocation inverse cumulative distribution function. More...

`#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>`

Inherits unary_function< Real, Real >.

## Public Member Functions
| StochasticCollocationInvCDF (const boost::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Real | value (Real x) const
Real | operator() (Real u) const

## Detailed Description

Stochastic collocation inverse cumulative distribution function.

References: L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee, The Stochastic Collocation Monte Carlo Sampler: Highly efficient sampling from “expensive” distributions http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691