HaltonRsg Class Reference

Halton low-discrepancy sequence generator. More...

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

List of all members.

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.