QuantLib_HaltonRsg

Langue: en

Autres versions - même langue

Version: 160975 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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