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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 lecuyeruniformrng.hpp
\brief L'Ecuyer uniform random number generator
*/
#ifndef quantlib_lecuyer_uniform_rng_h
#define quantlib_lecuyer_uniform_rng_h
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
namespace QuantLib {
//! Uniform random number generator
/*! Random number generator of L'Ecuyer with added Bays-Durham
shuffle (know as ran2 in Numerical recipes)
For more details see Section 7.1 of Numerical Recipes in C, 2nd
Edition, Cambridge University Press (available at
http://www.nr.com/)
*/
class LecuyerUniformRng {
public:
typedef Sample<Real> sample_type;
/*! if the given seed is 0, a random seed will be chosen
based on clock() */
explicit LecuyerUniformRng(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:
mutable long temp1, temp2;
mutable long y;
mutable std::vector<long> buffer;
static const long m1;
static const long a1;
static const long q1;
static const long r1;
static const long m2;
static const long a2;
static const long q2;
static const long r2;
static const int bufferSize;
static const long bufferNormalizer;
static const long double maxRandom;
};
}
#endif
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