QuantLib: a free/open-source library for quantitative finance
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latticersg.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Mark Joshi
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file latticersg.hpp
21 \brief lattice rule code for low discrepancy numbers
22*/
23
24#ifndef quantlib_lattice_rsg_hpp
25#define quantlib_lattice_rsg_hpp
26
28#include <vector>
29
30namespace QuantLib {
31
32
34 {
35 public:
37 LatticeRsg(Size dimensionality, std::vector<Real> z, Size N);
38 /*! skip to the n-th sample in the low-discrepancy sequence */
39 void skipTo(unsigned long n);
41 Size dimension() const { return dimensionality_; }
42 const sample_type& lastSequence() const { return sequence_; }
43
44 private:
47 Size i_ = 0;
48 std::vector<Real> z_;
49
51 };
52
53}
54
55#endif
const LatticeRsg::sample_type & nextSequence()
Definition: latticersg.cpp:37
std::vector< Real > z_
Definition: latticersg.hpp:48
Size dimension() const
Definition: latticersg.hpp:41
sample_type sequence_
Definition: latticersg.hpp:50
const sample_type & lastSequence() const
Definition: latticersg.hpp:42
void skipTo(unsigned long n)
Definition: latticersg.cpp:32
Sample< std::vector< Real > > sample_type
Definition: latticersg.hpp:36
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
weighted sample
weighted sample
Definition: sample.hpp:35