quant-pricer-cpp
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Classes | Public Member Functions | Static Public Attributes | List of all members
quant::qmc::SobolSequence Class Reference

#include <sobol.hpp>

Public Member Functions

std::size_t dimension () const
 
std::vector< double > generate (std::uint64_t index) const
 
void generate (std::uint64_t index, double *out) const
 
 SobolSequence (std::size_t dimension, bool scrambled=false, std::uint64_t seed=0)
 

Static Public Attributes

static constexpr std::size_t kMaxBits = 64
 
static constexpr std::size_t kMaxSupportedDimension = 64
 

Constructor & Destructor Documentation

◆ SobolSequence()

quant::qmc::SobolSequence::SobolSequence ( std::size_t  dimension,
bool  scrambled = false,
std::uint64_t  seed = 0 
)

Member Function Documentation

◆ dimension()

std::size_t quant::qmc::SobolSequence::dimension ( ) const
inline

◆ generate() [1/2]

std::vector< double > quant::qmc::SobolSequence::generate ( std::uint64_t  index) const

◆ generate() [2/2]

void quant::qmc::SobolSequence::generate ( std::uint64_t  index,
double *  out 
) const

Member Data Documentation

◆ kMaxBits

constexpr std::size_t quant::qmc::SobolSequence::kMaxBits = 64
staticconstexpr

◆ kMaxSupportedDimension

constexpr std::size_t quant::qmc::SobolSequence::kMaxSupportedDimension = 64
staticconstexpr
The documentation for this class was generated from the following files: