QuantLib_HaltonRsg (3) - Linux Manuals

QuantLib_HaltonRsg: Halton low-discrepancy sequence generator.

NAME

QuantLib::HaltonRsg - Halton low-discrepancy sequence generator.

SYNOPSIS

#include <ql/math/randomnumbers/haltonrsg.hpp>

Public Types

typedef Sample< std::vector< Real > > sample_type

Public Member Functions

HaltonRsg (Size dimensionality, unsigned long seed=0, bool randomStart=true, bool randomShift=false)

const sample_type & nextSequence () const

const sample_type & lastSequence () const

Size dimension () const

Detailed Description

Halton low-discrepancy sequence generator.

Halton algorithm for low-discrepancy sequence. For more details see chapter 8, paragraph 2 of 'Monte Carlo Methods in Finance', by Peter Jäckel

Tests

*

the correctness of the returned values is tested by reproducing known good values.

*

the correctness of the returned values is tested by checking their discrepancy against known good values.

Author

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