private Sample <IPath> next(bool antithetic)
{
if (brownianBridge_)
{
Utils.QL_FAIL("Brownian bridge not supported");
return(null);
}
Sample <List <double> > sequence_ =
antithetic
? generator_.lastSequence()
: generator_.nextSequence();
int m = process_.size();
int n = process_.factors();
MultiPath path = (MultiPath)next_.value;
Vector asset = process_.initialValues();
for (int j = 0; j < m; j++)
{
path[j].setFront(asset[j]);
}
Vector temp;
next_.weight = sequence_.weight;
TimeGrid timeGrid = path[0].timeGrid();
double t, dt;
for (int i = 1; i < path.pathSize(); i++)
{
int offset = (i - 1) * n;
t = timeGrid[i - 1];
dt = timeGrid.dt(i - 1);
if (antithetic)
{
temp = -1 * new Vector(sequence_.value.GetRange(offset, n));
}
else
{
temp = new Vector(sequence_.value.GetRange(offset, n));
}
asset = process_.evolve(t, asset, dt, temp);
for (int j = 0; j < m; j++)
{
path[j][i] = asset[j];
}
}
return(next_);
}
public MultiPathGenerator(StochasticProcess process, TimeGrid times, GSG generator, bool brownianBridge)
{
brownianBridge_ = brownianBridge;
process_ = process;
generator_ = generator;
next_ = new Sample <IPath>(new MultiPath(process.size(), times), 1.0);
Utils.QL_REQUIRE(generator_.dimension() == process.factors() * (times.size() - 1), () =>
"dimension (" + generator_.dimension()
+ ") is not equal to ("
+ process.factors() + " * " + (times.size() - 1)
+ ") the number of factors "
+ "times the number of time steps");
Utils.QL_REQUIRE(times.size() > 1, () => "no times given");
}
public MultiPathGenerator(StochasticProcess process, TimeGrid times, GSG generator, bool brownianBridge)
{
brownianBridge_ = brownianBridge;
process_ = process;
generator_ = generator;
next_ = new Sample <IPath>(new MultiPath(process.size(), times), 1.0);
if (generator_.dimension() != process.factors() * (times.size() - 1))
{
throw new Exception("dimension (" + generator_.dimension()
+ ") is not equal to ("
+ process.factors() + " * " + (times.size() - 1)
+ ") the number of factors "
+ "times the number of time steps");
}
if (!(times.size() > 1))
{
throw new Exception("no times given");
}
}
public void testMultiple(StochasticProcess process,
string tag,
double[] expected,
double[] antithetic )
{
ulong seed = 42;
double length = 10;
int timeSteps = 12;
int assets = process.size();
var rsg = (InverseCumulativeRsg<RandomSequenceGenerator<MersenneTwisterUniformRng>
,InverseCumulativeNormal>)
new PseudoRandom().make_sequence_generator(timeSteps*assets, seed);
MultiPathGenerator<IRNG> generator=new MultiPathGenerator<IRNG>(process,
new TimeGrid(length, timeSteps),
rsg, false);
int i;
for (i=0; i<100; i++)
generator.next();
Sample<MultiPath> sample = generator.next();
Vector calculated = new Vector(assets);
double error, tolerance = 2.0e-7;
for (int j=0; j<assets; j++)
calculated[j] = sample.value[j].back() ;
for (int j=0; j<assets; j++) {
error = Math.Abs(calculated[j]-expected[j]);
if (error > tolerance) {
Assert.Fail("using " + tag + " process "
+ "(" + j+1 + " asset:)\n"
//+ std::setprecision(13)
+ " calculated: " + calculated[j] + "\n"
+ " expected: " + expected[j] + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
}
sample = generator.antithetic();
for (int j=0; j<assets; j++)
calculated[j] = sample.value[j].back();
for (int j=0; j<assets; j++) {
error = Math.Abs(calculated[j]-antithetic[j]);
if (error > tolerance) {
Assert.Fail("using " + tag + " process "
+ "(" + j+1 + " asset:)\n"
+ "antithetic sample:\n"
//+ std::setprecision(13)
+ " calculated: " + calculated[j] + "\n"
+ " expected: " + antithetic[j] + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
}
}
public override void Reset()
{
PseudoRandom rsg = new PseudoRandom();
_pg = rsg.make_sequence_generator(_process.size() * (_grid.size() - 1), _seed) as MultiPathGenerator <InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>, InverseCumulativeNormal> >;
}