QuantLib_HaltonRsg (3) - Linux Manuals

QuantLib_HaltonRsg: Halton low-discrepancy sequence generator.


QuantLib::HaltonRsg - Halton low-discrepancy sequence generator.


#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


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.


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