finMath lib documentation

Package net.finmath.randomnumbers

Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.

See: Description

• Interface Summary
Interface Description
RandomNumberGenerator
Interface for an n-dimensional random number generator generating a sequence of vectors sampling the space [0,1]^{n}
• 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

Package net.finmath.randomnumbers Description

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