Last updated: 2023-03-16.

Module: tf_quant_finance.math.qmc

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RQMC support.

Modules

utils module: Utility functions.

Functions

digital_net_sample(...): Constructs a digital net from a generating matrix.

lattice_rule_sample(...): Constructs a lattice rule from a generating vector.

random_digital_shift(...): Returns a Tensor drawn from a uniform distribution.

random_scrambling_matrices(...): Returns a Tensor drawn from a uniform distribution.

random_scrambling_vectors(...): Returns a Tensor drawn from a uniform distribution.

scramble_generating_matrices(...): Scrambles a generating matrix.

sobol_generating_matrices(...): Returns Sobol generating matrices.

sobol_sample(...): Samples points from the Sobol sequence.