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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2004 Walter Penschke
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/license.shtml>.
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.
*/
/*! \file rngtraits.hpp
\brief random-number generation policies
*/
#ifndef quantlib_rng_traits_hpp
#define quantlib_rng_traits_hpp
#include <ql/methods/montecarlo/pathgenerator.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/math/randomnumbers/inversecumulativerng.hpp>
#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
#include <ql/math/randomnumbers/sobolrsg.hpp>
#include <ql/math/randomnumbers/inversecumulativersg.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/poissondistribution.hpp>
namespace QuantLib {
// random number traits
template <class URNG, class IC>
struct GenericPseudoRandom {
// typedefs
typedef URNG urng_type;
typedef InverseCumulativeRng<urng_type,IC> rng_type;
typedef RandomSequenceGenerator<urng_type> ursg_type;
typedef InverseCumulativeRsg<ursg_type,IC> rsg_type;
// more traits
enum { allowsErrorEstimate = 1 };
// factory
static rsg_type make_sequence_generator(Size dimension,
BigNatural seed) {
ursg_type g(dimension, seed);
return (icInstance ? rsg_type(g, *icInstance) : rsg_type(g));
}
// data
static boost::shared_ptr<IC> icInstance;
};
// static member initialization
template<class URNG, class IC>
boost::shared_ptr<IC> GenericPseudoRandom<URNG, IC>::icInstance;
//! default traits for pseudo-random number generation
/*! \test a sequence generator is generated and tested by comparing
samples against known good values.
*/
typedef GenericPseudoRandom<MersenneTwisterUniformRng,
InverseCumulativeNormal> PseudoRandom;
//! traits for Poisson-distributed pseudo-random number generation
/*! \test sequence generators are generated and tested by comparing
samples against known good values.
*/
typedef GenericPseudoRandom<MersenneTwisterUniformRng,
InverseCumulativePoisson> PoissonPseudoRandom;
template <class URSG, class IC>
struct GenericLowDiscrepancy {
// typedefs
typedef URSG ursg_type;
typedef InverseCumulativeRsg<ursg_type,IC> rsg_type;
// more traits
enum { allowsErrorEstimate = 0 };
// factory
static rsg_type make_sequence_generator(Size dimension,
BigNatural seed) {
ursg_type g(dimension, seed);
return (icInstance ? rsg_type(g, *icInstance) : rsg_type(g));
}
// data
static boost::shared_ptr<IC> icInstance;
};
// static member initialization
template<class URSG, class IC>
boost::shared_ptr<IC> GenericLowDiscrepancy<URSG, IC>::icInstance;
//! default traits for low-discrepancy sequence generation
typedef GenericLowDiscrepancy<SobolRsg,
InverseCumulativeNormal> LowDiscrepancy;
}
#endif
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