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/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email quantlib-dev@lists.sf.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_random_numbers_i
#define quantlib_random_numbers_i
%include distributions.i
#if defined(SWIGRUBY)
#pragma SWIG nowarn=314
#endif
%{
using QuantLib::Sample;
using QuantLib::LecuyerUniformRng;
using QuantLib::KnuthUniformRng;
using QuantLib::MersenneTwisterUniformRng;
typedef QuantLib::PseudoRandom::urng_type UniformRandomGenerator;
using QuantLib::CLGaussianRng;
using QuantLib::BoxMullerGaussianRng;
using QuantLib::InverseCumulativeRng;
typedef QuantLib::PseudoRandom::rng_type GaussianRandomGenerator;
using QuantLib::RandomSequenceGenerator;
typedef QuantLib::PseudoRandom::ursg_type UniformRandomSequenceGenerator;
using QuantLib::HaltonRsg;
using QuantLib::SobolRsg;
typedef QuantLib::LowDiscrepancy::ursg_type
UniformLowDiscrepancySequenceGenerator;
using QuantLib::InverseCumulativeRsg;
typedef QuantLib::PseudoRandom::rsg_type GaussianRandomSequenceGenerator;
typedef QuantLib::LowDiscrepancy::rsg_type
GaussianLowDiscrepancySequenceGenerator;
%}
template <class T>
class Sample {
private:
Sample();
public:
%extend {
T value() { return self->value; }
Real weight() { return self->weight; }
}
};
%template(SampleNumber) Sample<Real>;
%template(SampleArray) Sample<Array>;
/************* Uniform number generators *************/
class LecuyerUniformRng {
public:
LecuyerUniformRng(BigInteger seed=0);
Sample<Real> next() const;
};
class KnuthUniformRng {
KnuthUniformRng(BigInteger seed=0);
Sample<Real> next() const;
};
class MersenneTwisterUniformRng {
MersenneTwisterUniformRng(BigInteger seed=0);
Sample<Real> next() const;
};
class UniformRandomGenerator {
public:
UniformRandomGenerator(BigInteger seed=0);
Sample<Real> next() const;
};
/************* Gaussian number generators *************/
template<class RNG> class CLGaussianRng {
public:
CLGaussianRng(const RNG& rng);
Sample<Real> next() const;
};
%template(CentralLimitLecuyerGaussianRng) CLGaussianRng<LecuyerUniformRng>;
%template(CentralLimitKnuthGaussianRng) CLGaussianRng<KnuthUniformRng>;
%template(CentralLimitMersenneTwisterGaussianRng)
CLGaussianRng<MersenneTwisterUniformRng>;
template<class RNG> class BoxMullerGaussianRng {
public:
BoxMullerGaussianRng(const RNG& rng);
Sample<Real> next() const;
};
%template(BoxMullerLecuyerGaussianRng) BoxMullerGaussianRng<LecuyerUniformRng>;
%template(BoxMullerKnuthGaussianRng) BoxMullerGaussianRng<KnuthUniformRng>;
%template(BoxMullerMersenneTwisterGaussianRng)
BoxMullerGaussianRng<MersenneTwisterUniformRng>;
template<class RNG, class F> class InverseCumulativeRng {
public:
InverseCumulativeRng(const RNG& rng);
Sample<Real> next() const;
};
%template(MoroInvCumulativeLecuyerGaussianRng)
InverseCumulativeRng<LecuyerUniformRng,MoroInverseCumulativeNormal>;
%template(MoroInvCumulativeKnuthGaussianRng)
InverseCumulativeRng<KnuthUniformRng,MoroInverseCumulativeNormal>;
%template(MoroInvCumulativeMersenneTwisterGaussianRng)
InverseCumulativeRng<MersenneTwisterUniformRng,
MoroInverseCumulativeNormal>;
%template(InvCumulativeLecuyerGaussianRng)
InverseCumulativeRng<LecuyerUniformRng,InverseCumulativeNormal>;
%template(InvCumulativeKnuthGaussianRng)
InverseCumulativeRng<KnuthUniformRng,InverseCumulativeNormal>;
%template(InvCumulativeMersenneTwisterGaussianRng)
InverseCumulativeRng<MersenneTwisterUniformRng,InverseCumulativeNormal>;
class GaussianRandomGenerator {
public:
GaussianRandomGenerator(const UniformRandomGenerator& rng);
Sample<Real> next() const;
};
/************* Uniform sequence generators *************/
class HaltonRsg {
public:
HaltonRsg(Size dimensionality);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
class SobolRsg {
public:
SobolRsg(Size dimensionality, BigInteger seed=0);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
template<class RNG> class RandomSequenceGenerator {
public:
RandomSequenceGenerator(Size dimensionality,
const RNG& rng);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
%template(LecuyerUniformRsg)
RandomSequenceGenerator<LecuyerUniformRng>;
%template(KnuthUniformRsg)
RandomSequenceGenerator<KnuthUniformRng>;
%template(MersenneTwisterUniformRsg)
RandomSequenceGenerator<MersenneTwisterUniformRng>;
class UniformRandomSequenceGenerator {
public:
UniformRandomSequenceGenerator(Size dimensionality,
const UniformRandomGenerator& rng);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
class UniformLowDiscrepancySequenceGenerator {
public:
UniformLowDiscrepancySequenceGenerator(Size dimensionality);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
/************* Gaussian sequence generators *************/
template <class U, class I>
class InverseCumulativeRsg {
public:
InverseCumulativeRsg(const U& uniformSequenceGenerator);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
%template(MoroInvCumulativeLecuyerGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<LecuyerUniformRng>,
MoroInverseCumulativeNormal>;
%template(MoroInvCumulativeKnuthGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<KnuthUniformRng>,
MoroInverseCumulativeNormal>;
%template(MoroInvCumulativeMersenneTwisterGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>,
MoroInverseCumulativeNormal>;
%template(MoroInvCumulativeHaltonGaussianRsg)
InverseCumulativeRsg<HaltonRsg,MoroInverseCumulativeNormal>;
%template(InvCumulativeLecuyerGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<LecuyerUniformRng>,
InverseCumulativeNormal>;
%template(InvCumulativeKnuthGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<KnuthUniformRng>,
InverseCumulativeNormal>;
%template(InvCumulativeMersenneTwisterGaussianRsg)
InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>,
InverseCumulativeNormal>;
%template(InvCumulativeHaltonGaussianRsg)
InverseCumulativeRsg<HaltonRsg,InverseCumulativeNormal>;
class GaussianRandomSequenceGenerator {
public:
GaussianRandomSequenceGenerator(
const UniformRandomSequenceGenerator& uniformSequenceGenerator);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
class GaussianLowDiscrepancySequenceGenerator {
public:
GaussianLowDiscrepancySequenceGenerator(
const UniformLowDiscrepancySequenceGenerator& u);
const Sample<Array>& nextSequence() const;
Size dimension() const;
};
#endif
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