FaureRsg Class Reference

Faure low-discrepancy sequence generator. More...

#include <ql/math/randomnumbers/faurersg.hpp>

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

Public Member Functions
	FaureRsg (Size dimensionality)
const std::vector< long int > &	nextIntSequence () const
const std::vector< long int > &	lastIntSequence () const
const sample_type &	nextSequence () const
const sample_type &	lastSequence () const
Size	dimension () const

Detailed Description

Faure low-discrepancy sequence generator.

It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.

1. E. Thiemard Economic generation of low-discrepancy sequences with a b-ary gray code.

2. Algorithms 659, 647. http://www.netlib.org/toms/647, http://www.netlib.org/toms/659

   Tests:

   the correctness of the returned values is tested by reproducing known good values.