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QuantLib_HaltonRsg
Langue: en
Version: 378117 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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