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Class HaltonRsg

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.

Hierarchy

  • HaltonRsg

Implements

Index

Type aliases

Properties

Methods

Type aliases

Static sample_type

sample_type: Sample<Real[]>

Properties

Private _dimensionality

_dimensionality: Size

Private _randomShift

_randomShift: Real[]

Private _randomStart

_randomStart: BigNatural[]

Private _sequence

_sequence: sample_type

Private _sequenceCounter

_sequenceCounter: BigNatural

Methods

dimension

  • Returns Size

init

  • Parameters

    • dimensionality: Size
    • Default value seed: BigNatural = 0
    • Default value randomStart: boolean = true
    • Default value randomShift: boolean = false

    Returns HaltonRsg

lastSequence

nextSequence