parkmiller.h

C++ design pattern in finance. Must know for QF engineers

//
//
//                      ParkMiller.h
//
//
#ifndef PARK_MILLER_H
#define PARK_MILLER_H
#include <Random2.h>

class ParkMiller
{
public:
    
    ParkMiller(long Seed = 1);

    long GetOneRandomInteger();
    void SetSeed(long Seed);

    static unsigned long Max();
    static unsigned long Min();

private:

    long Seed;

};

class RandomParkMiller : public RandomBase
{
public:

    RandomParkMiller(unsigned long Dimensionality, unsigned long Seed=1);

    virtual RandomBase* clone() const;    
    virtual void GetUniforms(MJArray& variates);    
    virtual void Skip(unsigned long numberOfPaths);
    virtual void SetSeed(unsigned long Seed);
    virtual void Reset();
    virtual void ResetDimensionality(unsigned long NewDimensionality);

private:

    ParkMiller InnerGenerator;
    unsigned long InitialSeed;
    double Reciprocal;

};
#endif

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/