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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 21 May 2018
*/
package net.finmath.randomnumbers;
import org.apache.commons.math3.random.SobolSequenceGenerator;
/**
* Implements a multi-dimensional Sobol sequence.
*
* The class is just a wrapper to Apache commons-math implementation
* in order to implement the interface RandomNumberGenerator
* with a minimal change. The value 0, the first element of the sequence, is omitted.
*
*
* @author Christian Fries
* @version 1.0
*/
public class SobolSequence implements RandomNumberGenerator {
private static final long serialVersionUID = -1904010803493075019L;
private final int dimension;
private final SobolSequenceGenerator generator;
/**
* Constructs a Sobol sequence with given dimension.
*
* @param dimension The dimension of the sequence.
*/
public SobolSequence(final int dimension) {
this.dimension = dimension;
generator = new SobolSequenceGenerator(dimension);
}
@Override
public double[] getNext() {
synchronized (generator) {
return generator.nextVector();
}
}
@Override
public int getDimension() {
return dimension;
}
}