HaltonRsg Class Reference
#include <ql/math/randomnumbers/haltonrsg.hpp>
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.
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 |