QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
SamplerMirrorGaussian Class Reference

Gaussian Mirror Sampler. More...

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

Public Member Functions

 SamplerMirrorGaussian (const Array &lower, const Array &upper, unsigned long seed=SeedGenerator::instance().get())
 
 SamplerMirrorGaussian (const SamplerMirrorGaussian &sampler)
 
SamplerMirrorGaussianoperator= (const SamplerMirrorGaussian &sampler)
 
void operator() (Array &newPoint, const Array &currentPoint, const Array &temp) const
 

Detailed Description

Gaussian Mirror Sampler.

Sample from normal distribution, but constrained to lie within .boundaries. If the value ends up beyond the boundary, the value is reflected back.