Sobol skipTo()

Posted by Fabien Le Floc'h-3 on
URL: http://quantlib.414.s1.nabble.com/Correlation-Matrix-tp36p38.html

Hello,

I believe there might be a small mistake in Quantlib 1.01 sobolrsg.cpp
SobolRsg::skipTo method. The method starts with:
  void SobolRsg::skipTo(unsigned long skip) {
        unsigned long N = skip+1;
        unsigned int ops = (unsigned int)(std::log((double)N)/M_LN2)+1;

It should be:
  void SobolRsg::skipTo(unsigned long skip) {
        unsigned long N = skip<<1;
        unsigned int ops = (unsigned int)(std::log((double)N)/M_LN2)+1;

Regards,

Fabien Le Floc'h.

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