/src/quantlib/ql/math/randomnumbers/sobolbrownianbridgersg.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2012 Klaus Spanderen |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <http://quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! \file brownianbridgersg.hpp |
21 | | \brief interface class to map the functionality of SobolBrownianGenerator |
22 | | to the "conventional" sequence generator interface |
23 | | */ |
24 | | |
25 | | #include <ql/math/randomnumbers/sobolbrownianbridgersg.hpp> |
26 | | |
27 | | namespace QuantLib { |
28 | | |
29 | | namespace { |
30 | 0 | void setNextSequence(SobolBrownianGeneratorBase& gen, std::vector<Real>& seq) { |
31 | 0 | gen.nextPath(); |
32 | 0 | std::vector<Real> output(gen.numberOfFactors()); |
33 | 0 | for (Size i = 0; i < gen.numberOfSteps(); ++i) { |
34 | 0 | gen.nextStep(output); |
35 | 0 | std::copy(output.begin(), output.end(), seq.begin() + i * gen.numberOfFactors()); |
36 | 0 | } |
37 | 0 | } |
38 | | } |
39 | | |
40 | | SobolBrownianBridgeRsg::SobolBrownianBridgeRsg(Size factors, |
41 | | Size steps, |
42 | | SobolBrownianGenerator::Ordering ordering, |
43 | | unsigned long seed, |
44 | | SobolRsg::DirectionIntegers directionIntegers) |
45 | 0 | : seq_(sample_type::value_type(factors * steps), 1.0), |
46 | 0 | gen_(factors, steps, ordering, seed, directionIntegers) {} |
47 | | |
48 | | const SobolBrownianBridgeRsg::sample_type& |
49 | 0 | SobolBrownianBridgeRsg::nextSequence() const { |
50 | 0 | setNextSequence(gen_, seq_.value); |
51 | 0 | return seq_; |
52 | |
|
53 | 0 | } |
54 | | |
55 | | const SobolBrownianBridgeRsg::sample_type& |
56 | 0 | SobolBrownianBridgeRsg::lastSequence() const { |
57 | 0 | return seq_; |
58 | 0 | } |
59 | | |
60 | 0 | Size SobolBrownianBridgeRsg::dimension() const { |
61 | 0 | return gen_.numberOfFactors() * gen_.numberOfSteps(); |
62 | 0 | } |
63 | | |
64 | | Burley2020SobolBrownianBridgeRsg::Burley2020SobolBrownianBridgeRsg( |
65 | | Size factors, |
66 | | Size steps, |
67 | | SobolBrownianGenerator::Ordering ordering, |
68 | | unsigned long seed, |
69 | | SobolRsg::DirectionIntegers directionIntegers, |
70 | | unsigned long scrambleSeed) |
71 | 0 | : seq_(sample_type::value_type(factors * steps), 1.0), |
72 | 0 | gen_(factors, steps, ordering, seed, directionIntegers, scrambleSeed) {} |
73 | | |
74 | | const Burley2020SobolBrownianBridgeRsg::sample_type& |
75 | 0 | Burley2020SobolBrownianBridgeRsg::nextSequence() const { |
76 | 0 | setNextSequence(gen_, seq_.value); |
77 | 0 | return seq_; |
78 | 0 | } |
79 | | |
80 | | const Burley2020SobolBrownianBridgeRsg::sample_type& |
81 | 0 | Burley2020SobolBrownianBridgeRsg::lastSequence() const { |
82 | 0 | return seq_; |
83 | 0 | } |
84 | | |
85 | 0 | Size Burley2020SobolBrownianBridgeRsg::dimension() const { |
86 | 0 | return gen_.numberOfFactors() * gen_.numberOfSteps(); |
87 | 0 | } |
88 | | |
89 | | } |