// constructors
public PathGenerator(StochasticProcess process, double length, int timeSteps, GSG generator, bool brownianBridge)
{
brownianBridge_ = brownianBridge;
generator_ = generator;
dimension_ = generator_.dimension();
timeGrid_ = new TimeGrid(length, timeSteps);
process_ = process as StochasticProcess1D;
next_ = new Sample <IPath>(new Path(timeGrid_), 1.0);
temp_ = new InitializedList <double>(dimension_);
bb_ = new BrownianBridge(timeGrid_);
Utils.QL_REQUIRE(dimension_ == timeSteps, () =>
"sequence generator dimensionality (" + dimension_ + ") != timeSteps (" + timeSteps + ")");
}
public PathGenerator(StochasticProcess process, TimeGrid timeGrid, GSG generator, bool brownianBridge)
{
brownianBridge_ = brownianBridge;
generator_ = generator;
dimension_ = generator_.dimension();
timeGrid_ = timeGrid;
process_ = process as StochasticProcess1D;
next_ = new Sample <IPath>(new Path(timeGrid_), 1.0);
temp_ = new InitializedList <double>(dimension_);
bb_ = new BrownianBridge(timeGrid_);
if (dimension_ != timeGrid_.size() - 1)
{
throw new Exception("sequence generator dimensionality (" + dimension_
+ ") != timeSteps (" + (timeGrid_.size() - 1) + ")");
}
}
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;
}
}