pathgenerator.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 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.
*/
 
/*! \file pathgenerator.hpp
    \brief Generates random paths using a sequence generator
*/
 
#ifndef quantlib_montecarlo_path_generator_hpp
#define quantlib_montecarlo_path_generator_hpp
 
#include <ql/methods/montecarlo/brownianbridge.hpp>
#include <ql/stochasticprocess.hpp>
#include <utility>
 
namespace QuantLib {
    class StochasticProcess;
    class StochasticProcess1D;
    //! Generates random paths using a sequence generator
    /*! Generates random paths with drift(S,t) and variance(S,t)
        using a gaussian sequence generator
 
        \ingroup mcarlo
 
        \test the generated paths are checked against cached results
    */
    template <class GSG>
    class PathGenerator {
      public:
        typedef Sample<Path> sample_type;
        // constructors
        PathGenerator(const ext::shared_ptr<StochasticProcess>&,
                      Time length,
                      Size timeSteps,
                      GSG generator,
                      bool brownianBridge);
        PathGenerator(const ext::shared_ptr<StochasticProcess>&,
                      TimeGrid timeGrid,
                      GSG generator,
                      bool brownianBridge);
        //! \name inspectors
        //@{
        const sample_type& next() const;
        const sample_type& antithetic() const;
        Size size() const { return dimension_; }
        const TimeGrid& timeGrid() const { return timeGrid_; }
        //@}
      private:
        const sample_type& next(bool antithetic) const;
        bool brownianBridge_;
        GSG generator_;
        Size dimension_;
        TimeGrid timeGrid_;
        ext::shared_ptr<StochasticProcess1D> process_;
        mutable sample_type next_;
        mutable std::vector<Real> temp_;
        BrownianBridge bb_;
    };
 
 
    // template definitions
 
    template <class GSG>
    PathGenerator<GSG>::PathGenerator(const ext::shared_ptr<StochasticProcess>& process,
                                      Time length,
                                      Size timeSteps,
                                      GSG generator,
                                      bool brownianBridge)
    : brownianBridge_(brownianBridge), generator_(std::move(generator)),
      dimension_(generator_.dimension()), timeGrid_(length, timeSteps),
      process_(ext::dynamic_pointer_cast<StochasticProcess1D>(process)),
      next_(Path(timeGrid_), 1.0), temp_(dimension_), bb_(timeGrid_) {
        QL_REQUIRE(dimension_==timeSteps,
                   "sequence generator dimensionality (" << dimension_
                   << ") != timeSteps (" << timeSteps << ")");
    }
 
    template <class GSG>
    PathGenerator<GSG>::PathGenerator(const ext::shared_ptr<StochasticProcess>& process,
                                      TimeGrid timeGrid,
                                      GSG generator,
                                      bool brownianBridge)
    : brownianBridge_(brownianBridge), generator_(std::move(generator)),
      dimension_(generator_.dimension()), timeGrid_(std::move(timeGrid)),
      process_(ext::dynamic_pointer_cast<StochasticProcess1D>(process)),
      next_(Path(timeGrid_), 1.0), temp_(dimension_), bb_(timeGrid_) {
        QL_REQUIRE(dimension_==timeGrid_.size()-1,
                   "sequence generator dimensionality (" << dimension_
                   << ") != timeSteps (" << timeGrid_.size()-1 << ")");
    }
 
    template <class GSG>
    const typename PathGenerator<GSG>::sample_type&
    PathGenerator<GSG>::next() const {
        return next(false);
    }
 
    template <class GSG>
    const typename PathGenerator<GSG>::sample_type&
    PathGenerator<GSG>::antithetic() const {
        return next(true);
    }
 
    template <class GSG>
    const typename PathGenerator<GSG>::sample_type&
    PathGenerator<GSG>::next(bool antithetic) const {
 
        typedef typename GSG::sample_type sequence_type;
        const sequence_type& sequence_ =
            antithetic ? generator_.lastSequence()
                       : generator_.nextSequence();
 
        if (brownianBridge_) {
            bb_.transform(sequence_.value.begin(),
                          sequence_.value.end(),
                          temp_.begin());
        } else {
            std::copy(sequence_.value.begin(),
                      sequence_.value.end(),
                      temp_.begin());
        }
 
        next_.weight = sequence_.weight;
 
        Path& path = next_.value;
        path.front() = process_->x0();
 
        for (Size i=1; i<path.length(); i++) {
            Time t = timeGrid_[i-1];
            Time dt = timeGrid_.dt(i-1);
            path[i] = process_->evolve(t, path[i-1], dt,
                                       antithetic ? -temp_[i-1] :
                                                     temp_[i-1]);
        }
 
        return next_;
    }
 
}
 
 
#endif