1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file ranluxuniformrng.hpp
21 \brief "Luxury" random number generator.
22*/
23
24#ifndef quantlib_ranlux_uniform_rng_h
25#define quantlib_ranlux_uniform_rng_h
26
27#include <ql/methods/montecarlo/sample.hpp>
28
29#include <random>
30
31namespace QuantLib {
32
33 //! Uniform random number generator
34 /*! M. Luescher's "luxury" random number generator
35
36 Implementation is a proxy for the corresponding boost random
37 number generator. For more detail see the boost documentation and:
38 M.Luescher, A portable high-quality random number generator for
39 lattice field theory simulations, Comp. Phys. Comm. 79 (1994) 100
40
41 Available luxury levels:
42 Ranlux3: Any theoretically possible correlations have very small change
43 of being observed.
44 Ranlux4: highest possible luxury.
45 */
46 template <std::size_t P, std::size_t R>
47 class Ranlux64UniformRng {
48 public:
49 typedef Sample<Real> sample_type;
50
51 explicit Ranlux64UniformRng(std::uint_fast64_t seed = 19780503U)
52 : ranlux_(ranlux64_base_01(seed)) {}
53
54 sample_type next() const { return {ranlux_()*nx, 1.0}; }
55
56 private:
57 const double nx = 1.0/(std::uint_fast64_t(1) << 48);
58 typedef std::subtract_with_carry_engine<std::uint_fast64_t, 48, 10, 24>
59 ranlux64_base_01;
60 mutable std::discard_block_engine<ranlux64_base_01, P, R> ranlux_;
61 };
62
63 typedef Ranlux64UniformRng<223, 24> Ranlux3UniformRng;
64 typedef Ranlux64UniformRng<389, 24> Ranlux4UniformRng;
65}
66
67
68#endif
69

source code of quantlib/ql/math/randomnumbers/ranluxuniformrng.hpp