HaltonRsg Class Reference

Halton low-discrepancy sequence generator. More...

#include <haltonrsg.hpp>

Collaboration diagram for HaltonRsg:

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

Private Attributes
Size	dimensionality_
unsigned long	sequenceCounter_ = 0
sample_type	sequence_
std::vector< unsigned long >	randomStart_
std::vector< Real >	randomShift_

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.

Definition at line 43 of file haltonrsg.hpp.

Member Typedef Documentation

sample_type

typedef Sample<std::vector<Real> > sample_type

Definition at line 45 of file haltonrsg.hpp.

Constructor & Destructor Documentation

HaltonRsg()

HaltonRsg ( Size  dimensionality, unsigned long  seed = 0, bool  randomStart = true, bool  randomShift = false  )

explicit

Definition at line 36 of file haltonrsg.cpp.

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Member Function Documentation

nextSequence()

const HaltonRsg::sample_type & nextSequence

(

)

const

Definition at line 56 of file haltonrsg.cpp.

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lastSequence()

const sample_type & lastSequence

(

)

const

Definition at line 51 of file haltonrsg.hpp.

dimension()

Size dimension

(

)

const

Definition at line 54 of file haltonrsg.hpp.

Member Data Documentation

dimensionality_

Size dimensionality_

private

Definition at line 56 of file haltonrsg.hpp.

sequenceCounter_

unsigned long sequenceCounter_ = 0

mutableprivate

Definition at line 57 of file haltonrsg.hpp.

sequence_

sample_type sequence_

mutableprivate

Definition at line 58 of file haltonrsg.hpp.

randomStart_

std::vector<unsigned long> randomStart_

private

Definition at line 59 of file haltonrsg.hpp.

randomShift_

std::vector<Real> randomShift_

private

Definition at line 60 of file haltonrsg.hpp.