lecuyeruniformrng.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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
 <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.
*/
 
#ifndef quantlib_lecuyer_uniform_rng_h
#define quantlib_lecuyer_uniform_rng_h
 
#include <ql/methods/montecarlo/sample.hpp>
#include <vector>
 
namespace QuantLib {
 
 
    class LecuyerUniformRng {
      public:
        typedef Sample<Real> sample_type;
        explicit LecuyerUniformRng(long seed = 0);
        sample_type next() const;
      private:
        mutable long temp1, temp2;
        mutable long y;
        mutable std::vector<long> buffer;
        static const long m1;
        static const long a1;
        static const long q1;
        static const long r1;
        static const long m2;
        static const long a2;
        static const long q2;
        static const long r2;
        static const int bufferSize;
        static const long bufferNormalizer;
        static const long double maxRandom;
    };
 
}
 
 
#endif