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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 StatPro Italia 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.
*/
#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp>
#include <algorithm>
namespace QuantLib {
MTBrownianGenerator::MTBrownianGenerator(Size factors, Size steps, unsigned long seed)
: factors_(factors), steps_(steps),
generator_(factors * steps, MersenneTwisterUniformRng(seed)) {}
Real MTBrownianGenerator::nextStep(std::vector<Real>& output) {
#if defined(QL_EXTRA_SAFETY_CHECKS)
QL_REQUIRE(output.size() == factors_, "size mismatch");
QL_REQUIRE(lastStep_<steps_, "uniform sequence exhausted");
#endif
// no copying, just fetching a reference
const std::vector<Real>& currentSequence = generator_.lastSequence().value;
Size start = lastStep_*factors_, end = (lastStep_+1)*factors_;
std::transform(currentSequence.begin()+start,
currentSequence.begin()+end,
output.begin(),
inverseCumulative_);
++lastStep_;
return 1.0;
}
Real MTBrownianGenerator::nextPath() {
typedef RandomSequenceGenerator<MersenneTwisterUniformRng>::sample_type
sample_type;
const sample_type& sample = generator_.nextSequence();
lastStep_ = 0;
return sample.weight;
}
Size MTBrownianGenerator::numberOfFactors() const { return factors_; }
Size MTBrownianGenerator::numberOfSteps() const { return steps_; }
MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed)
: seed_(seed) {}
ext::shared_ptr<BrownianGenerator>
MTBrownianGeneratorFactory::create(Size factors, Size steps) const {
return ext::shared_ptr<BrownianGenerator>(
new MTBrownianGenerator(factors, steps, seed_));
}
}
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