Module net.finmath.lib

Package net.finmath.randomnumbers

Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions. Classes in this package provide wrappers for random number generators from thirs party libraries (e.g. Mersenne-Twister from commons-math), native implementation of quasi random number gerantors (e.g. Halton sequence) and algorithm to sample other distributions (like the Acceptance-Rejection method).
Author:
Christian Fries
  • Interface Summary 
    Interface Description
    RandomNumberGenerator
    Interface for an n-dimensional random number generator generating a sequence of vectors sampling the space [0,1]^{n}
    RandomNumberGenerator1D
    Interface for a 1-dimensional random number generator generating a sequence of vectors sampling the space [0,1]
  • Class Summary 
    Class Description
    AcceptanceRejectionRandomNumberGenerator
    Class implementing RandomNumberGenerator by the acceptance rejection method.
    HaltonSequence
    Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.
    MersenneTwister
    Mersenne Twister random number generator.