Package org.jquantlib.math.randomnumbers

Examples of org.jquantlib.math.randomnumbers.SobolRsg.nextSequence()


        final SobolRsg rsg = new SobolRsg(5, seed);

        final double tolerance = 1.7e-4;
        // actually tested up to 2^21-1=2097151 Sobol draws
        for (int i = 0; i < 1023; ++i) {
            final double next[] = rsg.nextSequence().value();
// TODO: translate properly
//            s = grid[0].front() + next[0]*(grid[0].back()-grid[0].front());
//            t = grid[1].front() + next[1]*(grid[1].back()-grid[1].front());
//            u = grid[2].front() + next[2]*(grid[2].back()-grid[2].front());
//            v = grid[3].front() + next[3]*(grid[3].back()-grid[3].front());
 
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        final SobolRsg rsg = new SobolRsg(5, seed);

        final double tolerance = 1.7e-4;
        // actually tested up to 2^21-1=2097151 Sobol draws
        for (int i = 0; i < 1023; ++i) {
            final double next[] = rsg.nextSequence().value();
// TODO: translate properly
//            s = grid[0].front() + next[0]*(grid[0].back()-grid[0].front());
//            t = grid[1].front() + next[1]*(grid[1].back()-grid[1].front());
//            u = grid[2].front() + next[2]*(grid[2].back()-grid[2].front());
//            v = grid[3].front() + next[3]*(grid[3].back()-grid[3].front());
 
View Full Code Here

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