1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
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.
*/
// ===========================================================================
// NOTE: The following copyright notice applies to the original code,
//
// Copyright (C) 2002 Peter Jckel "Monte Carlo Methods in Finance".
// All rights reserved.
//
// Permission to use, copy, modify, and distribute this software is freely
// granted, provided that this notice is preserved.
// ===========================================================================
#include <ql/math/randomnumbers/haltonrsg.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/math/primenumbers.hpp>
namespace QuantLib {
HaltonRsg::HaltonRsg(Size dimensionality, unsigned long seed,
bool randomStart, bool randomShift)
: dimensionality_(dimensionality), sequenceCounter_(0),
sequence_(std::vector<Real> (dimensionality), 1.0),
randomStart_(dimensionality, 0UL),
randomShift_(dimensionality, 0.0) {
QL_REQUIRE(dimensionality>0,
"dimensionality must be greater than 0");
if (randomStart || randomShift) {
RandomSequenceGenerator<MersenneTwisterUniformRng>
uniformRsg(dimensionality_, seed);
if (randomStart)
randomStart_ = uniformRsg.nextInt32Sequence();
if (randomShift)
randomShift_ = uniformRsg.nextSequence().value;
}
}
const HaltonRsg::sample_type& HaltonRsg::nextSequence() const {
++sequenceCounter_;
for (Size i=0; i<dimensionality_; ++i) {
double h = 0.0;
unsigned long b = PrimeNumbers::get(i);
double f = 1.0;
unsigned long k = sequenceCounter_+randomStart_[i];
while (k != 0U) {
f /= b;
h += (k%b)*f;
k /= b;
}
sequence_.value[i] = h+randomShift_[i];
sequence_.value[i] -= long(sequence_.value[i]);
}
return sequence_;
}
}
|
