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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 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
<https://www.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 brownianbridgersg.hpp
\brief interface class to map the functionality of SobolBrownianGenerator
to the "conventional" sequence generator interface
*/
#include <ql/math/randomnumbers/sobolbrownianbridgersg.hpp>
namespace QuantLib {
namespace {
void setNextSequence(SobolBrownianGeneratorBase& gen, std::vector<Real>& seq) {
gen.nextPath();
std::vector<Real> output(gen.numberOfFactors());
for (Size i = 0; i < gen.numberOfSteps(); ++i) {
gen.nextStep(output);
std::copy(output.begin(), output.end(), seq.begin() + i * gen.numberOfFactors());
}
}
}
SobolBrownianBridgeRsg::SobolBrownianBridgeRsg(Size factors,
Size steps,
SobolBrownianGenerator::Ordering ordering,
unsigned long seed,
SobolRsg::DirectionIntegers directionIntegers)
: seq_(sample_type::value_type(factors * steps), 1.0),
gen_(factors, steps, ordering, seed, directionIntegers) {}
const SobolBrownianBridgeRsg::sample_type&
SobolBrownianBridgeRsg::nextSequence() const {
setNextSequence(gen_, seq_.value);
return seq_;
}
const SobolBrownianBridgeRsg::sample_type&
SobolBrownianBridgeRsg::lastSequence() const {
return seq_;
}
Size SobolBrownianBridgeRsg::dimension() const {
return gen_.numberOfFactors() * gen_.numberOfSteps();
}
Burley2020SobolBrownianBridgeRsg::Burley2020SobolBrownianBridgeRsg(
Size factors,
Size steps,
SobolBrownianGenerator::Ordering ordering,
unsigned long seed,
SobolRsg::DirectionIntegers directionIntegers,
unsigned long scrambleSeed)
: seq_(sample_type::value_type(factors * steps), 1.0),
gen_(factors, steps, ordering, seed, directionIntegers, scrambleSeed) {}
const Burley2020SobolBrownianBridgeRsg::sample_type&
Burley2020SobolBrownianBridgeRsg::nextSequence() const {
setNextSequence(gen_, seq_.value);
return seq_;
}
const Burley2020SobolBrownianBridgeRsg::sample_type&
Burley2020SobolBrownianBridgeRsg::lastSequence() const {
return seq_;
}
Size Burley2020SobolBrownianBridgeRsg::dimension() const {
return gen_.numberOfFactors() * gen_.numberOfSteps();
}
}
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