mt19937uniformrng.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2010 Kakhkhor Abdijalilov
 
 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
 <http://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 mt19937uniformrng.hpp
    \brief Mersenne Twister uniform random number generator
*/
 
#ifndef quantlib_mersennetwister_uniform_rng_hpp
#define quantlib_mersennetwister_uniform_rng_hpp
 
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
 
namespace QuantLib {
 
    //! Uniform random number generator
    /*! Mersenne Twister random number generator of period 2**19937-1
 
        For more details see http://www.math.keio.ac.jp/matumoto/emt.html
 
        \test the correctness of the returned values is tested by
              checking them against known good results.
    */
    class MersenneTwisterUniformRng {
      private:
        static const Size N = 624; // state size
        static const Size M = 397; // shift size
      public:
        typedef Sample<Real> sample_type;
        /*! if the given seed is 0, a random seed will be chosen
            based on clock() */
        explicit MersenneTwisterUniformRng(unsigned long seed = 0);
        explicit MersenneTwisterUniformRng(
                                     const std::vector<unsigned long>& seeds);
        /*! returns a sample with weight 1.0 containing a random number
            in the (0.0, 1.0) interval  */
        sample_type next() const { return {nextReal(), 1.0}; }
        //! return a random number in the (0.0, 1.0)-interval
        Real nextReal() const {
            return (Real(nextInt32()) + 0.5)/4294967296.0;
        }
        //! return a random integer in the [0,0xffffffff]-interval
        unsigned long nextInt32() const  {
            if (mti==N)
                twist(); /* generate N words at a time */
 
            unsigned long y = mt[mti++];
 
            /* Tempering */
            y ^= (y >> 11);
            y ^= (y << 7) & 0x9d2c5680UL;
            y ^= (y << 15) & 0xefc60000UL;
            y ^= (y >> 18);
            return y;
        }
      private:
        void seedInitialization(unsigned long seed);
        void twist() const;
        mutable unsigned long mt[N];
        mutable Size mti;
        static const unsigned long MATRIX_A, UPPER_MASK, LOWER_MASK;
    };
 
}
 
 
#endif