MultiPathGeneratorMersenneTwister Class Reference

Instantiation of MultiPathGenerator with standard PseudoRandom traits. More...

#include <qle/methods/multipathgeneratorbase.hpp>

Inheritance diagram for MultiPathGeneratorMersenneTwister:

Collaboration diagram for MultiPathGeneratorMersenneTwister:

Public Member Functions
	MultiPathGeneratorMersenneTwister (const QuantLib::ext::shared_ptr< StochasticProcess > &, const TimeGrid &, BigNatural seed=0, bool antitheticSampling=false)
const Sample< MultiPath > &	next () const override
void	reset () override
Public Member Functions inherited from MultiPathGeneratorBase
virtual	~MultiPathGeneratorBase ()
virtual const Sample< MultiPath > &	next () const =0
virtual void	reset ()=0

Private Attributes
const QuantLib::ext::shared_ptr< StochasticProcess >	process_
TimeGrid	grid_
BigNatural	seed_
QuantLib::ext::shared_ptr< MultiPathGenerator< PseudoRandom::rsg_type > >	pg_
QuantLib::ext::shared_ptr< PathGenerator< PseudoRandom::rsg_type > >	pg1D_
bool	antitheticSampling_
bool	antitheticVariate_
Sample< MultiPath >	next_

Detailed Description

Instantiation of MultiPathGenerator with standard PseudoRandom traits.

Definition at line 59 of file multipathgeneratorbase.hpp.

Constructor & Destructor Documentation

MultiPathGeneratorMersenneTwister()

MultiPathGeneratorMersenneTwister	(	const QuantLib::ext::shared_ptr< StochasticProcess > &	process,
		const TimeGrid &	grid,
		BigNatural	seed = 0,
		bool	antitheticSampling = false
	)

Definition at line 27 of file multipathgeneratorbase.cpp.

    : process_(process), grid_(grid), seed_(seed), antitheticSampling_(antitheticSampling), antitheticVariate_(true),
      next_(MultiPath(process->size(), grid), 1.0) {
    MultiPathGeneratorMersenneTwister::reset();
}

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Member Function Documentation

next()

const Sample< MultiPath > & next ( ) const

overridevirtual

Implements MultiPathGeneratorBase.

Definition at line 44 of file multipathgeneratorbase.cpp.

                                                                       {
    if (antitheticSampling_) {
        antitheticVariate_ = !antitheticVariate_;
        if (pg_) {
            return antitheticVariate_ ? pg_->antithetic() : pg_->next();
        } else {
            next_.value.at(0) = antitheticVariate_ ? pg1D_->antithetic().value : pg1D_->next().value;
            return next_;
        }
    } else {
        if (pg_)
            return pg_->next();
        else {
            next_.value.at(0) = pg1D_->next().value;
            return next_;
        }
    }
}

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reset()

void reset ( )

overridevirtual

Implements MultiPathGeneratorBase.

Definition at line 34 of file multipathgeneratorbase.cpp.

                                              {
    PseudoRandom::rsg_type rsg = PseudoRandom::make_sequence_generator(process_->factors() * (grid_.size() - 1), seed_);
    if (auto tmp = QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(process_)) {
        pg1D_ = QuantLib::ext::make_shared<PathGenerator<PseudoRandom::rsg_type>>(tmp, grid_, rsg, false);
    } else {
        pg_ = QuantLib::ext::make_shared<MultiPathGenerator<PseudoRandom::rsg_type>>(process_, grid_, rsg, false);
    }
    antitheticVariate_ = true;
}

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Member Data Documentation

process_

const QuantLib::ext::shared_ptr<StochasticProcess> process_

private

Definition at line 67 of file multipathgeneratorbase.hpp.

grid_

TimeGrid grid_

private

Definition at line 68 of file multipathgeneratorbase.hpp.

seed_

BigNatural seed_

private

Definition at line 69 of file multipathgeneratorbase.hpp.

pg_

QuantLib::ext::shared_ptr<MultiPathGenerator<PseudoRandom::rsg_type> > pg_

private

Definition at line 71 of file multipathgeneratorbase.hpp.

pg1D_

QuantLib::ext::shared_ptr<PathGenerator<PseudoRandom::rsg_type> > pg1D_

private

Definition at line 72 of file multipathgeneratorbase.hpp.

antitheticSampling_

bool antitheticSampling_

private

Definition at line 73 of file multipathgeneratorbase.hpp.

antitheticVariate_

bool antitheticVariate_

mutableprivate

Definition at line 74 of file multipathgeneratorbase.hpp.

next_

Sample<MultiPath> next_

mutableprivate

Definition at line 75 of file multipathgeneratorbase.hpp.