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sobolbrowniangenerator.cpp

/* -*- 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.
*/

#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
#include <boost/iterator/permutation_iterator.hpp>

namespace QuantLib {

    namespace {

        void fillByFactor(std::vector<std::vector<Size> >& M,
                          Size factors, Size steps) {
            Size counter = 0;
            for (Size i=0; i<factors; ++i)
                for (Size j=0; j<steps; ++j)
                    M[i][j] = counter++;
        }

        void fillByStep(std::vector<std::vector<Size> >& M,
                        Size factors, Size steps) {
            Size counter = 0;
            for (Size j=0; j<steps; ++j)
                for (Size i=0; i<factors; ++i)
                    M[i][j] = counter++;
        }

        // variate 2 is used for the second factor's full path
        void fillByDiagonal(std::vector<std::vector<Size> >& M,
                            Size factors, Size steps) {
            // starting position of the current diagonal
            Size i0 = 0, j0 = 0;
            // current position
            Size i=0, j=0;
            Size counter = 0;
            while (counter < factors*steps) {
                M[i][j] = counter++;
                if (i == 0 || j == steps-1) {
                    // we completed a diagonal and have to start a new one
                    if (i0 < factors-1) {
                        // we start the path of the next factor
                        i0 = i0+1;
                        j0 = 0;
                    } else {
                        // we move along the path of the last factor
                        i0 = factors-1;
                        j0 = j0+1;
                    }
                    i = i0;
                    j = j0;
                } else {
                    // we move along the diagonal
                    i = i-1;
                    j = j+1;
                }
            }
        }

        /*
        // variate 2 is used for the first factor's half path
        void fillByDiagonal(std::vector<std::vector<Size> >& M,
                            Size factors, Size steps) {
            // starting position of the current diagonal
            Size i0 = 0, j0 = 0;
            // current position
            Size i=0, j=0;
            Size counter = 0;
            while (counter < factors*steps) {
                M[i][j] = counter++;
                if (j == 0 || i == factors-1) {
                    // we completed a diagonal and have to start a new one
                    if (j0 < steps-1) {
                        // we move along the path of the first factor
                        i0 = 0;
                        j0 = j0+1;
                    } else {
                        // we complete the next path
                        i0 = i0+1;
                        j0 = steps-1;
                    }
                    i = i0;
                    j = j0;
                } else {
                    // we move along the diagonal
                    i = i+1;
                    j = j-1;
                }
            }
        }
        */

    }


    SobolBrownianGenerator::SobolBrownianGenerator(
                                        Size factors,
                                        Size steps,
                                        Ordering ordering,
                                        unsigned long seed,
                                        SobolRsg::DirectionIntegers integers)
    : factors_(factors), steps_(steps), ordering_(ordering),
      generator_(SobolRsg(factors*steps, seed, integers),
                 InverseCumulativeNormal()),
      bridge_(steps), lastStep_(0),
      orderedIndices_(factors, std::vector<Size>(steps)),
      bridgedVariates_(factors, std::vector<Real>(steps)) {

        switch (ordering) {
          case Factors:
            fillByFactor(orderedIndices_, factors_, steps_);
            break;
          case Steps:
            fillByStep(orderedIndices_, factors_, steps_);
            break;
          case Diagonal:
            fillByDiagonal(orderedIndices_, factors_, steps_);
            break;
          default:
            QL_FAIL("unknown ordering");
        }
    }


    Real SobolBrownianGenerator::nextPath() {
        typedef InverseCumulativeRsg<SobolRsg,
                                     InverseCumulativeNormal>::sample_type
            sample_type;

        const sample_type& sample = generator_.nextSequence();
        // Brownian-bridge the variates according to the ordered indices
        for (Size i=0; i<factors_; ++i) {
            bridge_.transform(boost::make_permutation_iterator(
                                                  sample.value.begin(),
                                                  orderedIndices_[i].begin()),
                              boost::make_permutation_iterator(
                                                  sample.value.begin(),
                                                  orderedIndices_[i].end()),
                              bridgedVariates_[i].begin());
        }
        lastStep_ = 0;
        return sample.weight;
    }

    Real SobolBrownianGenerator::nextStep(std::vector<Real>& output) {
        #if defined(QL_EXTRA_SAFETY_CHECKS)
        QL_REQUIRE(output.size() == factors_, "size mismatch");
        QL_REQUIRE(lastStep_<steps_, "sequence exhausted");
        #endif
        for (Size i=0; i<factors_; ++i)
            output[i] = bridgedVariates_[i][lastStep_];
        ++lastStep_;
        return 1.0;
    }

    Size SobolBrownianGenerator::numberOfFactors() const { return factors_; }

    Size SobolBrownianGenerator::numberOfSteps() const { return steps_; }



    SobolBrownianGeneratorFactory::SobolBrownianGeneratorFactory(
                                    SobolBrownianGenerator::Ordering ordering,
                                    unsigned long seed,
                                    SobolRsg::DirectionIntegers integers)
    : ordering_(ordering), seed_(seed), integers_(integers) {}

    boost::shared_ptr<BrownianGenerator>
    SobolBrownianGeneratorFactory::create(Size factors, Size steps) const {
        return boost::shared_ptr<BrownianGenerator>(
                         new SobolBrownianGenerator(factors, steps, ordering_,
                                                    seed_, integers_));
    }

}


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