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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
<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 knuthuniformrng.hpp
\brief Knuth uniform random number generator
*/
#ifndef quantlib_knuth_uniform_rng_h
#define quantlib_knuth_uniform_rng_h
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
namespace QuantLib {
//! Uniform random number generator
/*! Random number generator by Knuth.
For more details see Knuth, Seminumerical Algorithms,
3rd edition, Section 3.6.
\note This is <b>not</b> Knuth's original implementation which
is available at
http://www-cs-faculty.stanford.edu/~knuth/programs.html,
but rather a slightly modified version wrapped in a C++ class.
Such modifications did not affect the code but only the data
structures used, which were converted to their standard C++
equivalents.
*/
class KnuthUniformRng {
public:
typedef Sample<Real> sample_type;
/*! if the given seed is 0, a random seed will be chosen
based on clock() */
explicit KnuthUniformRng(long seed = 0);
/*! returns a sample with weight 1.0 containing a random number
uniformly chosen from (0.0,1.0) */
sample_type next() const;
private:
static const int KK, LL, TT, QUALITY;
mutable std::vector<double> ranf_arr_buf;
mutable size_t ranf_arr_ptr, ranf_arr_sentinel;
mutable std::vector<double> ran_u;
double mod_sum(double x, double y) const;
bool is_odd(int s) const;
void ranf_start(long seed);
void ranf_array(std::vector<double>& aa, int n) const;
double ranf_arr_cycle() const;
};
// inline definitions
inline KnuthUniformRng::sample_type KnuthUniformRng::next() const {
double result = (ranf_arr_ptr != ranf_arr_sentinel ?
ranf_arr_buf[ranf_arr_ptr++] :
ranf_arr_cycle());
return {result, 1.0};
}
inline double KnuthUniformRng::mod_sum(double x, double y) const {
return (x+y)-int(x+y);
}
inline bool KnuthUniformRng::is_odd(int s) const {
return (s&1) != 0;
}
}
#endif
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