1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2004 Ferdinando Ametrano
5  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
6  Copyright (C) 2004 Walter Penschke
7 
8  This file is part of QuantLib, a free-software/open-source library
9  for financial quantitative analysts and developers - http://quantlib.org/
10 
11  QuantLib is free software: you can redistribute it and/or modify it
12  under the terms of the QuantLib license.  You should have received a
13  copy of the license along with this program; if not, please email
14  <quantlib-dev@lists.sf.net>. The license is also available online at
15  <http://quantlib.org/license.shtml>.
16 
17  This program is distributed in the hope that it will be useful, but WITHOUT
18  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19  FOR A PARTICULAR PURPOSE.  See the license for more details.
20 */
21 
22 /*! \file rngtraits.hpp
23     \brief random-number generation policies
24 */
25 
26 #ifndef quantlib_rng_traits_hpp
27 #define quantlib_rng_traits_hpp
28 
29 #include <ql/methods/montecarlo/pathgenerator.hpp>
30 #include <ql/math/randomnumbers/mt19937uniformrng.hpp>
31 #include <ql/math/randomnumbers/inversecumulativerng.hpp>
32 #include <ql/math/randomnumbers/randomsequencegenerator.hpp>
33 #include <ql/math/randomnumbers/sobolrsg.hpp>
34 #include <ql/math/randomnumbers/inversecumulativersg.hpp>
35 #include <ql/math/distributions/normaldistribution.hpp>
36 #include <ql/math/distributions/poissondistribution.hpp>
37 
38 namespace QuantLib {
39 
40     // random number traits
41 
42     template <class URNG, class IC>
43     struct GenericPseudoRandom {
44         // typedefs
45         typedef URNG urng_type;
46         typedef InverseCumulativeRng<urng_type,IC> rng_type;
47         typedef RandomSequenceGenerator<urng_type> ursg_type;
48         typedef InverseCumulativeRsg<ursg_type,IC> rsg_type;
49         // more traits
50         enum { allowsErrorEstimate = 1 };
51         // factory
make_sequence_generatorQuantLib::GenericPseudoRandom52         static rsg_type make_sequence_generator(Size dimension,
53                                                 BigNatural seed) {
54             ursg_type g(dimension, seed);
55             return (icInstance ? rsg_type(g, *icInstance) : rsg_type(g));
56         }
57         // data
58         static ext::shared_ptr<IC> icInstance;
59     };
60 
61     // static member initialization
62     template<class URNG, class IC>
63     ext::shared_ptr<IC> GenericPseudoRandom<URNG, IC>::icInstance;
64 
65 
66     //! default traits for pseudo-random number generation
67     /*! \test a sequence generator is generated and tested by comparing
68               samples against known good values.
69     */
70     typedef GenericPseudoRandom<MersenneTwisterUniformRng,
71                                 InverseCumulativeNormal> PseudoRandom;
72 
73     //! traits for Poisson-distributed pseudo-random number generation
74     /*! \test sequence generators are generated and tested by comparing
75               samples against known good values.
76     */
77     typedef GenericPseudoRandom<MersenneTwisterUniformRng,
78                                 InverseCumulativePoisson> PoissonPseudoRandom;
79 
80 
81     template <class URSG, class IC>
82     struct GenericLowDiscrepancy {
83         // typedefs
84         typedef URSG ursg_type;
85         typedef InverseCumulativeRsg<ursg_type,IC> rsg_type;
86         // more traits
87         enum { allowsErrorEstimate = 0 };
88         // factory
make_sequence_generatorQuantLib::GenericLowDiscrepancy89         static rsg_type make_sequence_generator(Size dimension,
90                                                 BigNatural seed) {
91             ursg_type g(dimension, seed);
92             return (icInstance ? rsg_type(g, *icInstance) : rsg_type(g));
93         }
94         // data
95         static ext::shared_ptr<IC> icInstance;
96     };
97 
98     // static member initialization
99     template<class URSG, class IC>
100     ext::shared_ptr<IC> GenericLowDiscrepancy<URSG, IC>::icInstance;
101 
102 
103     //! default traits for low-discrepancy sequence generation
104     typedef GenericLowDiscrepancy<SobolRsg,
105                                   InverseCumulativeNormal> LowDiscrepancy;
106 
107 }
108 
109 
110 #endif
111