public SobolRsg(uint dimensionality, int seed, SobolRsg.DirectionIntegers directionIntegers) : this(NQuantLibcPINVOKE.new_SobolRsg__SWIG_0(dimensionality, seed, (int)directionIntegers), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SobolBrownianGeneratorFactory(SobolBrownianGenerator.Ordering ordering, ulong seed = 0,
SobolRsg.DirectionIntegers integers = SobolRsg.DirectionIntegers.Jaeckel)
{
ordering_ = ordering;
seed_ = seed;
integers_ = integers;
}
public SobolBrownianBridgeRsg(int factors, int steps,
SobolBrownianGenerator.Ordering ordering = SobolBrownianGenerator.Ordering.Diagonal,
ulong seed = 0,
SobolRsg.DirectionIntegers directionIntegers = SobolRsg.DirectionIntegers.JoeKuoD7)
{
factors_ = factors;
steps_ = steps;
dim_ = factors * steps;
seq_ = new Sample <List <double> >(new InitializedList <double>(factors * steps), 1.0);
gen_ = new SobolBrownianGenerator(factors, steps, ordering, seed, directionIntegers);
}
public SobolBrownianGenerator(int factors, int steps, Ordering ordering, ulong seed = 0,
SobolRsg.DirectionIntegers directionIntegers = SobolRsg.DirectionIntegers.Jaeckel)
{
factors_ = factors;
steps_ = steps;
ordering_ = ordering;
generator_ = new InverseCumulativeRsg <SobolRsg, InverseCumulativeNormal>(
new SobolRsg(factors * steps, seed, directionIntegers), new InverseCumulativeNormal());
bridge_ = new BrownianBridge(steps);
lastStep_ = 0;
orderedIndices_ = new InitializedList <List <int> >(factors);
bridgedVariates_ = new InitializedList <List <double> >(factors);
for (int i = 0; i < factors; i++)
{
orderedIndices_[i] = new InitializedList <int>(steps);
bridgedVariates_[i] = new InitializedList <double>(steps);
}
switch (ordering_)
{
case Ordering.Factors:
fillByFactor(orderedIndices_, factors_, steps_);
break;
case Ordering.Steps:
fillByStep(orderedIndices_, factors_, steps_);
break;
case Ordering.Diagonal:
fillByDiagonal(orderedIndices_, factors_, steps_);
break;
default:
Utils.QL_FAIL("unknown ordering");
break;
}
}
//typedef SobolRsg generator_type;
public SobolFactory(SobolRsg.DirectionIntegers unit)
{
unit_ = unit;
}
//typedef SobolRsg generator_type;
public SobolFactory(SobolRsg.DirectionIntegers unit)
{
unit_=unit;
}
public SobolBrownianGeneratorFactory(SobolBrownianGenerator.Ordering ordering, uint seed, SobolRsg.DirectionIntegers directionIntegers) : this(NQuantLibcPINVOKE.new_SobolBrownianGeneratorFactory__SWIG_0((int)ordering, seed, (int)directionIntegers), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
