MultiPathVariateGeneratorMersenneTwister Class Reference

#include <qle/methods/multipathvariategenerator.hpp>

Inheritance diagram for MultiPathVariateGeneratorMersenneTwister:

Collaboration diagram for MultiPathVariateGeneratorMersenneTwister:

Public Member Functions
	MultiPathVariateGeneratorMersenneTwister (const Size dimension, const Size timeSteps, BigNatural seed=0, bool antitheticSampling=false)
void	reset () override
Public Member Functions inherited from MultiPathVariateGeneratorBase
	MultiPathVariateGeneratorBase (const Size dimension, const Size timeSteps)
virtual	~MultiPathVariateGeneratorBase ()
virtual Sample< std::vector< Array > >	next () const
virtual void	reset ()=0

Private Member Functions
Sample< std::vector< Real > >	nextSequence () const override

Private Attributes
BigNatural	seed_
bool	antitheticSampling_
bool	antitheticVariate_
QuantLib::ext::shared_ptr< PseudoRandom::rsg_type >	rsg_

Additional Inherited Members
virtual Sample< std::vector< Real > >	nextSequence () const =0
Protected Attributes inherited from MultiPathVariateGeneratorBase
Size	dimension_
Size	timeSteps_

Detailed Description

Definition at line 45 of file multipathvariategenerator.hpp.

Constructor & Destructor Documentation

MultiPathVariateGeneratorMersenneTwister()

MultiPathVariateGeneratorMersenneTwister	(	const Size	dimension,
		const Size	timeSteps,
		BigNatural	seed = 0,
		bool	antitheticSampling = false
	)

Definition at line 44 of file multipathvariategenerator.cpp.

    : MultiPathVariateGeneratorBase(dimension, timeSteps), seed_(seed), antitheticSampling_(antitheticSampling),
      antitheticVariate_(true) {
    MultiPathVariateGeneratorMersenneTwister::reset();
}

Here is the call graph for this function:

Member Function Documentation

reset()

void reset ( )

overridevirtual

Implements MultiPathVariateGeneratorBase.

Definition at line 53 of file multipathvariategenerator.cpp.

                                                     {
    rsg_ = QuantLib::ext::make_shared<
        InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>, InverseCumulativeNormal>>(
        RandomSequenceGenerator<MersenneTwisterUniformRng>(dimension_ * timeSteps_, MersenneTwisterUniformRng(seed_)),
        InverseCumulativeNormal());
    antitheticVariate_ = true;
}

Here is the caller graph for this function:

nextSequence()

Sample< std::vector< Real > > nextSequence ( ) const

overrideprivatevirtual

Implements MultiPathVariateGeneratorBase.

Definition at line 61 of file multipathvariategenerator.cpp.

                                                                                     {
    if (antitheticSampling_) {
        antitheticVariate_ = !antitheticVariate_;
        if (antitheticVariate_) {
            auto tmp = rsg_->lastSequence();
            std::transform(tmp.value.begin(), tmp.value.end(), tmp.value.begin(), std::negate<Real>());
            return tmp;
        } else {
            return rsg_->nextSequence();
        }
    }
    return rsg_->nextSequence();
}

Member Data Documentation

seed_

BigNatural seed_

private

Definition at line 54 of file multipathvariategenerator.hpp.

antitheticSampling_

bool antitheticSampling_

private

Definition at line 55 of file multipathvariategenerator.hpp.

antitheticVariate_

bool antitheticVariate_

mutableprivate

Definition at line 56 of file multipathvariategenerator.hpp.

rsg_

QuantLib::ext::shared_ptr<PseudoRandom::rsg_type> rsg_

private

Definition at line 58 of file multipathvariategenerator.hpp.