QuantLib_HaltonRsg man page
HaltonRsg — Halton low-discrepancy sequence generator.
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
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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HaltonRsg(3) is an alias of QuantLib_HaltonRsg(3).