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latticersg.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
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.
*/

/*! \file latticersg.cpp
\brief lattice rule code for low discrepancy numbers
*/

#include <ql/math/randomnumbers/latticersg.hpp>
namespace QuantLib 
{

    LatticeRsg::LatticeRsg(Size dimensionality,
        const std::vector<Real>& z,
        Size N)             
        :
    dimensionality_(dimensionality),
        N_(N),
        i_(0),
        z_(z),
        sequence_(std::vector<Real> (dimensionality), 1.0),
        Ninv_(1.0/N)
    {
    }
    /*! skip to the n-th sample in the low-discrepancy sequence */
    void LatticeRsg::skipTo(unsigned long n)
    {
        i_+=n;
    }

    const LatticeRsg::sample_type& LatticeRsg::nextSequence()
    {
        for (Size j=0; j < dimensionality_; ++j)
        {
            Real theta = i_*z_[j]*Ninv_;
            sequence_.value[j]= fmod(theta,1.0);
        }
        ++i_;

        return sequence_;
    
    }

}

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