Class HaltonRsg

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The Halton low-discrepancy sequence generator. For more details see chapter 8, paragraph 2 of "Monte Carlo Methods in Finance", by Peter Jäckel.

[WorkingType]
public sealed class HaltonRsg : ISeedableRsg<HaltonRsg>, IRsg

Inheritance

object

HaltonRsg

Implements

ISeedableRsg<HaltonRsg>

IRsg

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A mutable working type: each draw changes the generator, and it is not thread-safe. A draw returns a view of the generator's buffer, valid until its next draw.

The seed, in [1, 4294967295], is only used when randomStart or randomShift is true; QuantLib's seed 0, which there draws a seed from the clock, is refused. The counter and the random start add as QuantLib's unsigned longs do under MSVC, in 32 bits, so their sum wraps at 2^32.

Constructors

HaltonRsg(int, long, bool, bool)

Initializes a new instance of the HaltonRsg class.

public HaltonRsg(int dimensionality, long seed, bool randomStart = true, bool randomShift = false)

Parameters

dimensionality int

The dimension of each sequence, at least 1.

seed long

The seed, in [1, 4294967295], of the random start and shift.

randomStart bool

Whether each dimension starts at a random point of its sequence.

randomShift bool

Whether each dimension is shifted by a random amount, modulo 1.

Exceptions

ArgumentOutOfRangeException

dimensionality is below 1, or seed outside [1, 4294967295].

Properties

Dimension

Gets the dimension of each sequence.

public int Dimension { get; }

Property Value

int

Methods

Clone()

Copies the generator deeply: the copy's next draw equals this generator's, into its own buffer, and the two change apart.

public HaltonRsg Clone()

Returns

HaltonRsg

The copy.

LastSequence()

Gets the sequence the last draw gave.

public Sample<ReadOnlyMemory<double>> LastSequence()

Returns

Sample<ReadOnlyMemory<double>>

The sequence, a view of the generator's buffer valid until its next draw, and its weight.

NextSequence()

Draws the next sequence, with weight 1.0.

public Sample<ReadOnlyMemory<double>> NextSequence()

Returns

Sample<ReadOnlyMemory<double>>

The sequence, a view of the generator's buffer valid until its next draw, and its weight.

Explicit Interface Implementations

Create(int, long)

Builds a generator from a dimension and a seed, with QuantLib's defaults (a random start, no random shift), for generic code (ISeedableRsg<TSelf>).

static HaltonRsg Create(int dimension, long seed)

Parameters

dimension int

The dimension of each sequence, at least 1.

seed long

The seed, in [1, 4294967295].

Returns

HaltonRsg

The generator.

Exceptions

ArgumentOutOfRangeException

An argument is out of its range.