/usr/include/ql/experimental/math/isotropicrandomwalk.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2015 Andres Hernandez
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file isotropicrandomwalk.hpp
\brief Isotropic random walk
*/
#ifndef quantlib_isotropic_random_walk_hpp
#define quantlib_isotropic_random_walk_hpp
#include <ql/mathconstants.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/math/array.hpp>
#include <boost/random/variate_generator.hpp>
namespace QuantLib {
//! Isotropic random walk
/*! A variate is used to draw from a random element of a
probability distribution. The draw corresponds to the
radius of a d-dimensional sphere. The position on the
surface of the d-dimensional sphere is randomly chosen
with all points on the surface having the same probability,
i.e. all directions are isotropic and the step is randomly
drawn from the given variate.
*/
template <class Distribution, class Engine>
class IsotropicRandomWalk {
public:
typedef boost::variate_generator<Engine, Distribution> VariateGenerator;
IsotropicRandomWalk(Engine eng, Distribution dist, Size dim,
const Array& weights = Array(),
unsigned long seed = 0) :
variate_(eng, dist), rng_(seed),
weights_(weights), dim_(dim) {
if (weights_.empty())
weights_ = Array(dim, 1.0);
else
QL_REQUIRE(dim_ == weights_.size(), "Invalid weights");
}
template <class InputIterator>
inline void nextReal(InputIterator first) const {
Real radius = variate_();
Array::const_iterator weight = weights_.begin();
if (dim_ > 1) {
//Isotropic random direction
Real phi = M_PI*rng_.nextReal();
for (Size i = 0; i < dim_ - 2; i++) {
*first++ = radius*cos(phi)*(*weight++);
radius *= sin(phi);
phi = M_PI*rng_.nextReal();
}
*first++ = radius*cos(2.0*phi)*(*weight++);
*first = radius*sin(2.0*phi)*(*weight);
}
else {
if (rng_.nextReal() < 0.5)
*first = -radius*(*weight);
else
*first = radius*(*weight);
}
}
inline void setDimension(Size dim) {
dim_ = dim;
weights_ = Array(dim, 1.0);
}
inline void setDimension(Size dim, const Array& weights) {
QL_REQUIRE(dim == weights.size(), "Invalid weights");
dim_ = dim;
weights_ = weights;
}
inline void setDimension(Size dim,
const Array& lowerBound, const Array& upperBound) {
QL_REQUIRE(dim == lowerBound.size(),
"Incompatible dimension and lower bound");
QL_REQUIRE(dim == upperBound.size(),
"Incompatible dimension and upper bound");
//Find largest bound
Array bounds = upperBound - lowerBound;
Real maxBound = bounds[0];
for (Size j = 1; j < dim; j++) {
if (bounds[j] > maxBound) maxBound = bounds[j];
}
//weights by dimension is the size of the bound
//divided by the largest bound
maxBound = 1.0 / maxBound;
bounds *= maxBound;
setDimension(dim, bounds);
}
protected:
mutable VariateGenerator variate_;
MersenneTwisterUniformRng rng_;
Array weights_;
Size dim_;
};
}
#endif
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