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haltonrsg.hpp

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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
 <http://quantlib.org/reference/license.html>.

 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/Math/array.hpp>
#include <ql/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.
    */
00044     class HaltonRsg {
      public:
        typedef Sample<Array> sample_type;
        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_;
        mutable sample_type sequence_;
        std::vector<unsigned long> randomStart_;
        Array randomShift_;
    };
}


#endif

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