QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Scrambled sobol sequence according to Burley, 2020. More...
#include <burley2020sobolrsg.hpp>
Public Types | |
typedef Sample< std::vector< Real > > | sample_type |
Public Member Functions | |
Burley2020SobolRsg (Size dimensionality, unsigned long seed=42, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel, unsigned long scrambleSeed=43) | |
const std::vector< std::uint32_t > & | skipTo (std::uint32_t n) const |
const std::vector< std::uint32_t > & | nextInt32Sequence () const |
const SobolRsg::sample_type & | nextSequence () const |
const sample_type & | lastSequence () const |
Size | dimension () const |
Private Member Functions | |
void | reset () const |
Private Attributes | |
Size | dimensionality_ |
unsigned long | seed_ |
SobolRsg::DirectionIntegers | directionIntegers_ |
ext::shared_ptr< SobolRsg > | sobolRsg_ |
std::vector< std::uint32_t > | integerSequence_ |
sample_type | sequence_ |
std::uint32_t | nextSequenceCounter_ |
std::vector< std::uint32_t > | group4Seeds_ |
Scrambled sobol sequence according to Burley, 2020.
Reference: Brent Burley: Practical Hash-based Owen Scrambling, Journal of Computer Graphics Techniques, Vol. 9, No. 4, 2020
Definition at line 35 of file burley2020sobolrsg.hpp.
typedef Sample<std::vector<Real> > sample_type |
Definition at line 37 of file burley2020sobolrsg.hpp.
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explicit |
const std::vector< std::uint32_t > & skipTo | ( | std::uint32_t | n | ) | const |
const std::vector< std::uint32_t > & nextInt32Sequence | ( | ) | const |
const SobolRsg::sample_type & nextSequence | ( | ) | const |
const sample_type & lastSequence | ( | ) | const |
Definition at line 46 of file burley2020sobolrsg.hpp.
Size dimension | ( | ) | const |
Definition at line 47 of file burley2020sobolrsg.hpp.
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private |
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private |
Definition at line 51 of file burley2020sobolrsg.hpp.
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private |
Definition at line 52 of file burley2020sobolrsg.hpp.
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private |
Definition at line 53 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 54 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 55 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 56 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 57 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 58 of file burley2020sobolrsg.hpp.