QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Halton low-discrepancy sequence generator. More...
#include <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 |
Private Attributes | |
Size | dimensionality_ |
unsigned long | sequenceCounter_ = 0 |
sample_type | sequence_ |
std::vector< unsigned long > | randomStart_ |
std::vector< Real > | randomShift_ |
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
Definition at line 43 of file haltonrsg.hpp.
typedef Sample<std::vector<Real> > sample_type |
Definition at line 45 of file haltonrsg.hpp.
const HaltonRsg::sample_type & nextSequence | ( | ) | const |
Definition at line 56 of file haltonrsg.cpp.
const sample_type & lastSequence | ( | ) | const |
Definition at line 51 of file haltonrsg.hpp.
Size dimension | ( | ) | const |
Definition at line 54 of file haltonrsg.hpp.
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private |
Definition at line 56 of file haltonrsg.hpp.
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mutableprivate |
Definition at line 57 of file haltonrsg.hpp.
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mutableprivate |
Definition at line 58 of file haltonrsg.hpp.
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private |
Definition at line 59 of file haltonrsg.hpp.
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private |
Definition at line 60 of file haltonrsg.hpp.