QuantLib_FaureRsg man page

FaureRsg — Faure low-discrepancy sequence generator.

Synopsis

#include <ql/math/randomnumbers/faurersg.hpp>

Public Types

typedef Sample< std::vector< Real > > sample_type

Public Member Functions

FaureRsg (Size dimensionality)

const std::vector< long int > & nextIntSequence () const

const std::vector< long int > & lastIntSequence () const

const sample_type & nextSequence () const

const sample_type & lastSequence () const

Size dimension () const

Detailed Description

Faure low-discrepancy sequence generator.

It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.

1.
E. Thiemard Economic generation of low-discrepancy sequences with a b-ary gray code.
2.
Algorithms 659, 647. http://www.netlib.org/toms/647, http://www.netlib.org/toms/659

Tests

the correctness of the returned values is tested by reproducing known good values.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

clacn2.f(3), dlacn2.f(3), dlaed6.f(3), slacn2.f(3), slaed6.f(3), zlacn2.f(3).

dimension(3), FaureRsg(3), lastIntSequence(3), lastSequence(3), nextIntSequence(3) and nextSequence(3) are aliases of QuantLib_FaureRsg(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib