// factory
public object make_sequence_generator(int dimension, ulong seed)
{
RandomSequenceGenerator <URNG> g = new RandomSequenceGenerator <URNG>(dimension, seed);
return(icInstance != null ? new InverseCumulativeRsg <RandomSequenceGenerator <URNG>, IC>(g, icInstance)
: new InverseCumulativeRsg <RandomSequenceGenerator <URNG>, IC>(g));
}
public HaltonSequence(int dimensionality,
ulong seed = 0,
bool randomStart = true,
bool randomShift = false)
{
_dimensionality = dimensionality;
_sequenceCounter = 0;
_sequence = new Sample <List <double> >(new List <double>(dimensionality), 1.0);
_randomStart = new List <ulong>(dimensionality);
_randomShift = new List <double>(dimensionality);
//dimensionality must be greater than 0"
if (randomStart || randomShift)
{
RandomSequenceGenerator <MersenneTwister> uniformRsg =
new RandomSequenceGenerator <MersenneTwister>(_dimensionality, seed);
if (randomStart)
{
_randomStart = uniformRsg.NextInt32Sequence();
}
if (randomShift)
{
_randomShift = uniformRsg.NextSequence().Value;
}
}
}
public HaltonRsg(int dimensionality,
ulong seed ,
bool randomStart,
bool randomShift)
{
if(seed ==null) seed = 0;
if(randomStart ==null) randomStart = true;
if(randomShift ==null) randomShift = false;
dimensionality_=dimensionality;
sequenceCounter_ = 0;
sequence_ = new Sample<List<double>>(new InitializedList<double>(dimensionality), 1.0);
randomStart_= new InitializedList<ulong>(dimensionality, 0UL);
randomShift_ = new InitializedList<double>(dimensionality, 0.0);
if(!(dimensionality>0))
throw new ArgumentException("dimensionality must be greater than 0");
if (randomStart || randomShift)
{
RandomSequenceGenerator<MersenneTwisterUniformRng>uniformRsg =
new RandomSequenceGenerator<MersenneTwisterUniformRng>(dimensionality_, seed);
if (randomStart)
randomStart_ = uniformRsg.nextInt32Sequence();
if (randomShift)
randomShift_ = uniformRsg.nextSequence().value;
}
}
public Grid GetRandomGrid(int rows = 5, int columns = 2)
{
var grid = new Grid(rows, columns);
var sequenceGenerator = new RandomSequenceGenerator();
grid.PopulateCells(sequenceGenerator);
grid.RandomiseCells();
return(grid);
}
public void Random_Sequence_Generates_Correct_Values()
{
var sequenceGenerator = new RandomSequenceGenerator();
var actual1 = sequenceGenerator.Generate(4);
var actual2 = sequenceGenerator.Generate(4);
actual1.Items.Should().NotBeEquivalentTo(actual2.Items);
actual1.Items.Select(s => s.Value).Should().OnlyHaveUniqueItems();
actual1.Items.Select(s => int.Parse(s.Value)).Should().BeInAscendingOrder();
}
public IObservable <TradeDto> GetEventStream()
{
var quotes = _stockQuoteProvider.GetEventStream();
var quantities = new RandomSequenceGenerator(10, 1000).CreateIntegerSequence(TimeSpan.FromMilliseconds(50)).Publish().RefCount();
return(quotes.SelectMany(quote =>
{
return quantities
.Take(1)
.Select(qty => new TradeDto(quote.Code, qty, quote.QuoteValue * qty));
}));
}
public double[] getPath(double s0, double drift, double sigma, double maturity, int numOfSteps
, RandomSequenceGenerator randomSequenceGenerator)
{
double dt = maturity / numOfSteps;
double[] stockPath = new double[numOfSteps + 1];
stockPath[0] = s0;
double[] randomSeq = randomSequenceGenerator.getSequence(numOfSteps);
for (int i = 1; i < numOfSteps + 1; ++i)
{
stockPath[i] = stockPath[i - 1] + drift * stockPath[i - 1] * dt + sigma * stockPath[i - 1] * Math.Sqrt(dt) * randomSeq[i - 1];
}
return stockPath;
}
public static void MCPriceOption(double s0, double drift, double sigma, double maturity, double strike
, PutCallOption optionType, int numOfSteps
, StockPathGenerator stockpathGenerator, PayoffCalculator payoffCalculator
, RandomSequenceGenerator randomSequenceGenerator)
{
StatisticTracker tracker = new StatisticTracker();
while (tracker.needMoreSimulation())
{
tracker.putNewResult(payoffCalculator.computePayoff(strike
, stockpathGenerator.getPath(s0, drift, sigma, maturity, numOfSteps, randomSequenceGenerator)
, optionType));
}
Console.Write("option price is ");
Console.WriteLine(tracker.getMean());
Console.Write("option price standard deviation is ");
Console.WriteLine(tracker.getStdDev());
}
public ScenarioCube(double r, double[] spots, double[] q, double[] vols, double[,] correlations, int nSteps, double dt)
{
nAssets = spots.Length;
this.nSteps = nSteps;
this.dt = dt;
Processes = new List <StochasticProcess1D>(nAssets);
Correlations = new Matrix(nAssets, nAssets);
Date now = new Date(DateTime.Now.Date);
DayCounter dc = new SimpleDayCounter();
yc = new Handle <YieldTermStructure>(new FlatForward(now, r, dc));
for (int i = 0; i < nAssets; ++i)
{
Handle <Quote> x0 = new Handle <Quote>(new SimpleQuote(spots[i]));
Handle <YieldTermStructure> dyc = new Handle <YieldTermStructure>(new FlatForward(now, q[i], dc));
Handle <BlackVolTermStructure> bv = new Handle <BlackVolTermStructure>(new BlackConstantVol(now, new Calendar(), vols[i], dc));
Processes.Add(new GeneralizedBlackScholesProcess(x0, dyc, yc, bv));
for (int j = 0; j < nAssets; ++j)
{
if (i == j)
{
Correlations[i, j] = 1;
}
else
{
Correlations[i, j] = Correlations[j, i] = correlations[i, j];
}
}
}
spa = new StochasticProcessArray(Processes, Correlations);
rsg = new RandomSequenceGenerator <MersenneTwisterUniformRng>(nSteps * Processes.Count, new MersenneTwisterUniformRng());
tg = new TimeGrid(nSteps * dt, nSteps);
var rsg2 = new InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>,
InverseCumulativeNormal>(rsg, new InverseCumulativeNormal());
mpg = new MultiPathGenerator <InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>, InverseCumulativeNormal> >(spa, tg, rsg2, false);
}
public JsonResult LoadPage(int number)
{
var firstElemId = number * PageSize;
var tuchPointId = firstElemId / RandomSequenceGenerator.PartSize;
var skipCount = firstElemId - tuchPointId * RandomSequenceGenerator.PartSize;
var takeCount = GeneratingResults.Period - firstElemId < PageSize ?
(int)(GeneratingResults.Period - firstElemId + 1) :
PageSize;
var generator = new RandomSequenceGenerator(Data.A, Data.C, Data.M, GeneratingResults.TuchPoints[tuchPointId]);
var pageContent = new StringBuilder();
var sequence = generator.GetNextSequencePart().Skip(skipCount).Take(takeCount).ToList();
if (sequence.Count < PageSize && GeneratingResults.Period - firstElemId > PageSize)
{
sequence.AddRange(generator.GetNextSequencePart().Skip(sequence.Count).Take(PageSize - sequence.Count).ToList());
}
sequence.ForEach(num => pageContent.Append(num).Append(" "));
return(Json(new { PageContent = pageContent.ToString() }, JsonRequestBehavior.AllowGet));
}
public IObservable <Quote> GetEventStream()
{
var googleStock = new RandomSequenceGenerator(GoogleMin, GoogleMax)
.Create(TimeSpan.FromMilliseconds(200))
.Select(s => new Quote("GOOGL", s));
var ibmStock = new RandomSequenceGenerator(IbmMin, IbmMax)
.Create(TimeSpan.FromMilliseconds(705))
.Select(s => new Quote("IBM", s));
var hpStock = new RandomSequenceGenerator(HpMin, HpMax)
.Create(TimeSpan.FromMilliseconds(602))
.Select(s => new Quote("HPQ", s));
var appleStock = new RandomSequenceGenerator(AppleMin, AppleMax)
.Create(TimeSpan.FromMilliseconds(253))
.Select(s => new Quote("AAPL", s));
var microsoftStock = new RandomSequenceGenerator(MicrosoftMin, MicrosoftMax)
.Create(TimeSpan.FromMilliseconds(407))
.Select(s => new Quote("MSFT", s));
return(Observable.Merge(googleStock, ibmStock, hpStock, appleStock, microsoftStock).Publish().RefCount());
}