zigguratrng.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 Kakhkhor Abdijalilov
 
 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_ziggurat_generator_hpp
#define quantlib_ziggurat_generator_hpp
 
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
 
namespace QuantLib {
 
 
    class ZigguratRng {
      public:
        typedef Sample<Real> sample_type;
        explicit ZigguratRng(unsigned long seed = 0);
        sample_type next() const { return {nextGaussian(), 1.0}; }
 
      private:
        mutable MersenneTwisterUniformRng mt32_;
        Real nextGaussian() const;
    };
 
    // RNG traits for Ziggurat generator
    struct Ziggurat {
        // typedefs
        typedef ZigguratRng rng_type;
        typedef RandomSequenceGenerator<rng_type> rsg_type;
        // more traits
        enum { allowsErrorEstimate = 1 };
        // factory
        static rsg_type make_sequence_generator(Size dimension,
                                                BigNatural seed) {
            return rsg_type(dimension, seed);
        }
    };
 
}
 
#endif