mtbrowniangenerator.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 StatPro Italia 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_mt_brownian_generator_hpp
#define quantlib_mt_brownian_generator_hpp
 
#include <ql/models/marketmodels/browniangenerator.hpp>
#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
 
namespace QuantLib {
 
 
    class MTBrownianGenerator : public BrownianGenerator {
      public:
        MTBrownianGenerator(Size factors,
                            Size steps,
                            unsigned long seed = 0);
 
        Real nextStep(std::vector<Real>&) override;
        Real nextPath() override;
 
        Size numberOfFactors() const override;
        Size numberOfSteps() const override;
 
      private:
        Size factors_, steps_;
        Size lastStep_ = 0;
        RandomSequenceGenerator<MersenneTwisterUniformRng> generator_;
        InverseCumulativeNormal inverseCumulative_;
    };
 
    class MTBrownianGeneratorFactory : public BrownianGeneratorFactory {
      public:
        MTBrownianGeneratorFactory(unsigned long seed = 0);
        ext::shared_ptr<BrownianGenerator> create(Size factors, Size steps) const override;
 
      private:
        unsigned long seed_;
    };
 
}
 
 
#endif