inversecumulativersg.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003, 2004 Ferdinando Ametrano
 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_inversecumulative_rsg_h
#define quantlib_inversecumulative_rsg_h
 
#include <ql/methods/montecarlo/sample.hpp>
#include <utility>
#include <vector>
 
namespace QuantLib {
 
 
    template <class USG, class IC>
    class InverseCumulativeRsg {
      public:
        typedef Sample<std::vector<Real> > sample_type;
        explicit InverseCumulativeRsg(USG uniformSequenceGenerator);
        InverseCumulativeRsg(USG uniformSequenceGenerator, const IC& inverseCumulative);
        const sample_type& nextSequence() const;
        const sample_type& lastSequence() const { return x_; }
        Size dimension() const { return dimension_; }
      private:
        USG uniformSequenceGenerator_;
        Size dimension_;
        mutable sample_type x_;
        IC ICD_;
    };
 
    template <class USG, class IC>
    InverseCumulativeRsg<USG, IC>::InverseCumulativeRsg(USG usg)
    : uniformSequenceGenerator_(std::move(usg)), dimension_(uniformSequenceGenerator_.dimension()),
      x_(std::vector<Real>(dimension_), 1.0) {}
 
    template <class USG, class IC>
    InverseCumulativeRsg<USG, IC>::InverseCumulativeRsg(USG usg, const IC& inverseCum)
    : uniformSequenceGenerator_(std::move(usg)), dimension_(uniformSequenceGenerator_.dimension()),
      x_(std::vector<Real>(dimension_), 1.0), ICD_(inverseCum) {}
 
    template <class USG, class IC>
    inline const typename InverseCumulativeRsg<USG, IC>::sample_type&
    InverseCumulativeRsg<USG, IC>::nextSequence() const {
        typename USG::sample_type sample =
            uniformSequenceGenerator_.nextSequence();
        x_.weight = sample.weight;
        for (Size i = 0; i < dimension_; i++) {
            x_.value[i] = ICD_(sample.value[i]);
        }
        return x_;
    }
 
}
 
 
#endif