internal static global::System.Runtime.InteropServices.HandleRef getCPtr(StochasticProcess1D obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public GaussianSobolPathGenerator(StochasticProcess1D process, double length, uint steps, GaussianLowDiscrepancySequenceGenerator rsg, bool brownianBridge) : this(NQuantLibcPINVOKE.new_GaussianSobolPathGenerator(StochasticProcess1D.getCPtr(process), length, steps, GaussianLowDiscrepancySequenceGenerator.getCPtr(rsg), brownianBridge), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void testSingle(StochasticProcess1D process,
string tag,
bool brownianBridge,
double expected,
double antithetic)
{
ulong seed = 42;
double length = 10;
int timeSteps = 12;
var rsg = (InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>
, InverseCumulativeNormal>)
new PseudoRandom().make_sequence_generator(timeSteps, seed);
PathGenerator <IRNG> generator = new PathGenerator <IRNG>(process,
length,
timeSteps,
rsg,
brownianBridge);
int i;
for (i = 0; i < 100; i++)
{
generator.next();
}
Sample <Path> sample = generator.next();
double calculated = sample.value.back();
double error = Math.Abs(calculated - expected);
double tolerance = 2.0e-8;
if (error > tolerance)
{
Assert.Fail("using " + tag + " process "
+ (brownianBridge ? "with " : "without ")
+ "brownian bridge:\n"
//+ std::setprecision(13)
+ " calculated: " + calculated + "\n"
+ " expected: " + expected + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
sample = generator.antithetic();
calculated = sample.value.back();
error = Math.Abs(calculated - antithetic);
tolerance = 2.0e-7;
if (error > tolerance)
{
Assert.Fail("using " + tag + " process "
+ (brownianBridge ? "with " : "without ")
+ "brownian bridge:\n"
+ "antithetic sample:\n"
//+ setprecision(13)
+ " calculated: " + calculated + "\n"
+ " expected: " + antithetic + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
}
public GaussianPathGenerator(StochasticProcess1D process, TimeGrid timeGrid, GaussianRandomSequenceGenerator rsg, bool brownianBridge) : this(NQuantLibcPINVOKE.new_GaussianPathGenerator__SWIG_1(StochasticProcess1D.getCPtr(process), TimeGrid.getCPtr(timeGrid), GaussianRandomSequenceGenerator.getCPtr(rsg), brownianBridge), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(StochasticProcess1D obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public GaussianSobolPathGenerator(StochasticProcess1D process, double length, uint steps, GaussianLowDiscrepancySequenceGenerator rsg, bool brownianBridge) : this(NQuantLibcPINVOKE.new_GaussianSobolPathGenerator(StochasticProcess1D.getCPtr(process), length, steps, GaussianLowDiscrepancySequenceGenerator.getCPtr(rsg), brownianBridge), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}