sobolrsg.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003, 2004 Ferdinando Ametrano
 Copyright (C) 2006 Richard Gould
 Copyright (C) 2007 Mark Joshi
 
 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_sobol_ld_rsg_hpp
#define quantlib_sobol_ld_rsg_hpp
 
#include <ql/methods/montecarlo/sample.hpp>
#include <cstdint>
#include <vector>
 
namespace QuantLib {
 
 
    class SobolRsg {
      public:
        typedef Sample<std::vector<Real> > sample_type;
        enum DirectionIntegers {
            Unit, Jaeckel, SobolLevitan, SobolLevitanLemieux,
            JoeKuoD5, JoeKuoD6, JoeKuoD7,
            Kuo, Kuo2, Kuo3 };
        explicit SobolRsg(Size dimensionality,
                          unsigned long seed = 0,
                          DirectionIntegers directionIntegers = Jaeckel);
        void skipTo(std::uint_least32_t n);
        const std::vector<std::uint_least32_t>& nextInt32Sequence() const;
 
        const SobolRsg::sample_type& nextSequence() const {
            const std::vector<std::uint_least32_t>& v = nextInt32Sequence();
            // normalize to get a double in (0,1)
            for (Size k=0; k<dimensionality_; ++k)
                sequence_.value[k] = v[k] * normalizationFactor_;
            return sequence_;
        }
        const sample_type& lastSequence() const { return sequence_; }
        Size dimension() const { return dimensionality_; }
      private:
        static const int bits_;
        static const double normalizationFactor_;
        Size dimensionality_;
        mutable std::uint_least32_t sequenceCounter_ = 0;
        mutable bool firstDraw_ = true;
        mutable sample_type sequence_;
        mutable std::vector<std::uint_least32_t> integerSequence_;
        std::vector<std::vector<std::uint_least32_t>> directionIntegers_;
    };
 
}
 
#endif