/usr/include/ql/math/randomnumbers/faurersg.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2004 Gianni Piolanti
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 faurersg.hpp
\brief Faure low-discrepancy sequence generator
*/
#ifndef quantlib_faure_ld_rsg_h
#define quantlib_faure_ld_rsg_h
#include <ql/math/matrix.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
namespace QuantLib {
//! Faure low-discrepancy sequence generator
/*! It is based on existing Fortran and C algorithms to calculate pascal
matrix and gray transforms.
-# E. Thiemard Economic generation of low-discrepancy sequences with
a b-ary gray code.
-# Algorithms 659, 647. http://www.netlib.org/toms/647,
http://www.netlib.org/toms/659
\test the correctness of the returned values is tested by
reproducing known good values.
*/
class FaureRsg {
public:
typedef Sample<std::vector<Real> > sample_type;
FaureRsg(Size dimensionality);
const std::vector<long int>& nextIntSequence() const {
generateNextIntSequence();
return integerSequence_;
}
const std::vector<long int>& lastIntSequence() const {
return integerSequence_;
}
const sample_type& nextSequence() const {
generateNextIntSequence();
for (Size i=0; i<dimensionality_; i++)
sequence_.value[i] = integerSequence_[i]/normalizationFactor_;
return sequence_;
}
const sample_type& lastSequence() const { return sequence_; }
Size dimension() const { return dimensionality_; }
private:
void generateNextIntSequence() const;
Size dimensionality_;
// mutable unsigned long sequenceCounter_;
mutable sample_type sequence_;
mutable std::vector<long int> integerSequence_;
mutable std::vector<long int> bary_;
mutable std::vector<std::vector<long int> > gray_;
Size base_, mbit_;
std::vector<std::vector<long int> > powBase_;
std::vector<long int> addOne_;
std::vector<std::vector<std::vector<long int> > > pascal3D;
double normalizationFactor_;
};
}
#endif
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