Stochastic collocation inverse cumulative distribution function. More...
#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>
Public Types | |
typedef Real | argument_type |
typedef Real | result_type |
Public Member Functions | |
StochasticCollocationInvCDF (const ext::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >()) | |
Real | value (Real x) const |
Real | operator() (Real u) const |
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