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haltonseq.pro

tophaltonseq

Monte Carlo

result = haltonseq(N)

Return the halton sequence for monte carlo simulations. This is a Sub-Random sequence that can improve convergence time for certain classes of problems. See Numerical Recipes secton 7.7 and Galanti, Silvio, Alan Jung, "Low-Discrepancy Sequences: Monte Carlo Simulation of Option Prices", J. Derivatatives, Fall 1997; 5, 1; ABI/INFORM Global pg 63

Return value

The first N values of the Halton Sequence

Parameters

N in required: the number of values of the halton seq to generate

Examples

 IDL> print, haltonseq(10)
     0.500000     0.250000     0.750000     0.125000     0.625000     0.375000     0.875000    0.0625000     0.562500

Author information

History:: Fri Mar 14 09:52:28 2008, Brian Larsen written and tested

Statistics

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McCabe complexity:

File attributes

Modifcation date:	Tue Sep 9 14:12:09 2008
Lines:	51

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