QuantLib_HaltonRsg man page

HaltonRsg — Halton low-discrepancy sequence generator.  


#include <ql/math/randomnumbers/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

Detailed Description

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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Referenced By

The man page HaltonRsg(3) is an alias of QuantLib_HaltonRsg(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib