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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file haltonrsg.hpp
\brief Halton low-discrepancy sequence generator
*/
#ifndef quantlib_halton_ld_rsg_h
#define quantlib_halton_ld_rsg_h
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
namespace QuantLib {
//! 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
\test
- 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.
*/
class HaltonRsg {
public:
typedef Sample<std::vector<Real> > sample_type;
explicit HaltonRsg(Size dimensionality,
unsigned long seed = 0,
bool randomStart = true,
bool randomShift = false);
const sample_type& nextSequence() const;
const sample_type& lastSequence() const {
return sequence_;
}
Size dimension() const {return dimensionality_;}
private:
Size dimensionality_;
mutable unsigned long sequenceCounter_ = 0;
mutable sample_type sequence_;
std::vector<unsigned long> randomStart_;
std::vector<Real> randomShift_;
};
}
#endif
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