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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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/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.
*/
#include <ql/math/randomnumbers/knuthuniformrng.hpp>
#include <ql/math/randomnumbers/seedgenerator.hpp>
namespace QuantLib {
const int KnuthUniformRng::KK = 100;
const int KnuthUniformRng::LL = 37;
const int KnuthUniformRng::TT = 70;
const int KnuthUniformRng::QUALITY = 1009;
KnuthUniformRng::KnuthUniformRng(long seed)
: ranf_arr_buf(QUALITY), ran_u(QUALITY) {
ranf_arr_ptr = ranf_arr_sentinel = ranf_arr_buf.size();
ranf_start(seed != 0 ? seed : SeedGenerator::instance().get());
}
void KnuthUniformRng::ranf_start(long seed) {
int t,s,j;
std::vector<double> u(KK+KK-1),ul(KK+KK-1);
double ulp=(1.0/(1L<<30))/(1L<<22); // 2 to the -52
double ss=2.0*ulp*((seed&0x3fffffff)+2);
for (j=0;j<KK;j++) {
u[j]=ss; ul[j]=0.0; // bootstrap the buffer
ss+=ss; if (ss>=1.0) ss-=1.0-2*ulp; // cyclic shift of 51 bits
}
for (;j<KK+KK-1;j++) u[j]=ul[j]=0.0;
u[1]+=ulp;ul[1]=ulp; // make u[1] (and only u[1]) "odd"
s=seed&0x3fffffff;
t=TT-1;
while (t != 0) {
for (j=KK-1;j>0;--j) ul[j+j]=ul[j],u[j+j]=u[j]; // "square"
for (j=KK+KK-2;j>KK-LL;j-=2)
ul[KK+KK-1-j]=0.0,u[KK+KK-1-j]=u[j]-ul[j];
for (j=KK+KK-2;j>=KK;--j)
if (ul[j] != 0.0) {
ul[j - (KK - LL)] = ulp - ul[j - (KK - LL)],
u[j - (KK - LL)] = mod_sum(u[j - (KK - LL)], u[j]);
ul[j - KK] = ulp - ul[j - KK], u[j - KK] = mod_sum(u[j - KK], u[j]);
}
if (is_odd(s)) { // "multiply by z"
for (j=KK;j>0;--j) ul[j]=ul[j-1],u[j]=u[j-1];
ul[0]=ul[KK],u[0]=u[KK]; // shift the buffer cyclically
if (ul[KK] != 0.0)
ul[LL] = ulp - ul[LL], u[LL] = mod_sum(u[LL], u[KK]);
}
if (s != 0)
s >>= 1;
else
t--;
}
for (j=0;j<LL;j++) ran_u[j+KK-LL]=u[j];
for (;j<KK;j++) ran_u[j-LL]=u[j];
}
void KnuthUniformRng::ranf_array(std::vector<double>& aa,
int n) const {
int i,j;
for (j=0;j<KK;j++) aa[j]=ran_u[j];
for (;j<n;j++) aa[j]=mod_sum(aa[j-KK],aa[j-LL]);
for (i=0;i<LL;i++,j++) ran_u[i]=mod_sum(aa[j-KK],aa[j-LL]);
for (;i<KK;i++,j++) ran_u[i]=mod_sum(aa[j-KK],ran_u[i-LL]);
}
double KnuthUniformRng::ranf_arr_cycle() const {
ranf_array(ranf_arr_buf,QUALITY);
ranf_arr_ptr = 1;
ranf_arr_sentinel = 100;
return ranf_arr_buf[0];
}
}
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