HaltonRsg Class Reference

Halton low-discrepancy sequence generator. More...

#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

Tests

• 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.