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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 Klaus Spanderen
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 stochasticcollationcdf.cpp
*/
#include <ql/mathconstants.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>
namespace QuantLib {
namespace {
Disposable<Array> g(Real sigma, const Array& x,
const ext::function<Real(Real)>& invCDF) {
Array y(x.size());
const CumulativeNormalDistribution normalCDF;
for (Size i=0, n=x.size(); i < n; ++i) {
y[i] = invCDF(normalCDF(x[i]/sigma));
}
return y;
}
}
StochasticCollocationInvCDF::StochasticCollocationInvCDF(
const ext::function<Real(Real)>& invCDF,
Size lagrangeOrder, Real pMax, Real pMin)
: x_(M_SQRT2*GaussHermiteIntegration(lagrangeOrder).x()),
sigma_( (pMax != Null<Real>())
? x_.back() / InverseCumulativeNormal()(pMax)
: (pMin != Null<Real>())
? x_.front() / InverseCumulativeNormal()(pMin)
: 1.0),
y_(g(sigma_, x_, invCDF)),
interpl_(x_.begin(), x_.end(), y_.begin()) {
}
Real StochasticCollocationInvCDF::value(Real x) const {
return interpl_(x*sigma_, true);
}
Real StochasticCollocationInvCDF::operator()(Real u) const {
return value(InverseCumulativeNormal()(u));
}
}
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