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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Mark Joshi
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 latticersg.cpp
\brief lattice rule code for low discrepancy numbers
*/
#include <ql/math/randomnumbers/latticersg.hpp>
namespace QuantLib
{
LatticeRsg::LatticeRsg(Size dimensionality,
const std::vector<Real>& z,
Size N)
:
dimensionality_(dimensionality),
N_(N),
i_(0),
z_(z),
sequence_(std::vector<Real> (dimensionality), 1.0)
{
}
/*! skip to the n-th sample in the low-discrepancy sequence */
void LatticeRsg::skipTo(unsigned long n)
{
i_+=n;
}
const LatticeRsg::sample_type& LatticeRsg::nextSequence()
{
for (Size j=0; j < dimensionality_; ++j)
{
Real theta = i_*z_[j]/N_;
sequence_.value[j]= std::fmod(theta,1.0);
}
++i_;
return sequence_;
}
}
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