HaltonRsg Class Reference

#include <ql/RandomNumbers/haltonrsg.hpp>

List of all members.


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

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


Public Types

typedef Sample< Arraysample_type

Public Member Functions

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


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