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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Scrambled sobol sequence according to Burley, 2020. More...
#include <burley2020sobolrsg.hpp>
Collaboration diagram for Burley2020SobolRsg:Public Types | |
| typedef Sample< std::vector< Real > > | sample_type |
Public Member Functions | |
| Burley2020SobolRsg (Size dimensionality, unsigned long seed=42, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel, unsigned long scrambleSeed=43) | |
| const std::vector< std::uint32_t > & | skipTo (std::uint32_t n) const |
| const std::vector< std::uint32_t > & | nextInt32Sequence () const |
| const SobolRsg::sample_type & | nextSequence () const |
| const sample_type & | lastSequence () const |
| Size | dimension () const |
Private Member Functions | |
| void | reset () const |
Private Attributes | |
| Size | dimensionality_ |
| unsigned long | seed_ |
| SobolRsg::DirectionIntegers | directionIntegers_ |
| ext::shared_ptr< SobolRsg > | sobolRsg_ |
| std::vector< std::uint32_t > | integerSequence_ |
| sample_type | sequence_ |
| std::uint32_t | nextSequenceCounter_ |
| std::vector< std::uint32_t > | group4Seeds_ |
Scrambled sobol sequence according to Burley, 2020.
Reference: Brent Burley: Practical Hash-based Owen Scrambling, Journal of Computer Graphics Techniques, Vol. 9, No. 4, 2020
Definition at line 35 of file burley2020sobolrsg.hpp.
| typedef Sample<std::vector<Real> > sample_type |
Definition at line 37 of file burley2020sobolrsg.hpp.
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explicit |
| const std::vector< std::uint32_t > & skipTo | ( | std::uint32_t | n | ) | const |
| const std::vector< std::uint32_t > & nextInt32Sequence | ( | ) | const |
| const SobolRsg::sample_type & nextSequence | ( | ) | const |
| const sample_type & lastSequence | ( | ) | const |
Definition at line 46 of file burley2020sobolrsg.hpp.
| Size dimension | ( | ) | const |
Definition at line 47 of file burley2020sobolrsg.hpp.
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private |
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private |
Definition at line 51 of file burley2020sobolrsg.hpp.
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private |
Definition at line 52 of file burley2020sobolrsg.hpp.
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private |
Definition at line 53 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 54 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 55 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 56 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 57 of file burley2020sobolrsg.hpp.
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mutableprivate |
Definition at line 58 of file burley2020sobolrsg.hpp.