/usr/include/ql/math/randomnumbers/latticersg.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Mark Joshi
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/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 latticersg.hpp
\brief lattice rule code for low discrepancy numbers
*/
#ifndef quantlib_lattice_rsg_hpp
#define quantlib_lattice_rsg_hpp
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
namespace QuantLib {
class LatticeRsg
{
public:
typedef Sample<std::vector<Real> > sample_type;
LatticeRsg(Size dimensionality,
const std::vector<Real>& z,
Size N);
/*! skip to the n-th sample in the low-discrepancy sequence */
void skipTo(unsigned long n);
const LatticeRsg::sample_type& nextSequence();
Size dimension() const { return dimensionality_; }
const sample_type& lastSequence() const { return sequence_; }
private:
Size dimensionality_;
Size N_;
Size i_;
std::vector<Real> z_;
sample_type sequence_;
Real Ninv_;
};
}
#endif
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