HaltonRsg Class Reference

#include <haltonrsg.hpp>

List of all members.


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


Public Types

typedef MonteCarlo::Sample<
Array
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


The documentation for this class was generated from the following files:

QuantLib.org
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