export sobol points

xlComp.sln

@@ -7,16 +7,25 @@ Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "xlComp", "xlComp.vcxproj",
 EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|x64 = Debug|x64
 		Debug|x86 = Debug|x86
+		Release|x64 = Release|x64
 		Release|x86 = Release|x86
 	EndGlobalSection
 	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Debug|x64.ActiveCfg = Debug|x64
+		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Debug|x64.Build.0 = Debug|x64
 		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Debug|x86.ActiveCfg = Debug|Win32
 		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Debug|x86.Build.0 = Debug|Win32
+		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Release|x64.ActiveCfg = Release|x64
+		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Release|x64.Build.0 = Release|x64
 		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Release|x86.ActiveCfg = Release|Win32
 		{ACEA4631-013B-4AD4-9780-3DC6039A7A51}.Release|x86.Build.0 = Release|Win32
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
 	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {B8A5CF54-BDB0-4962-8998-C9DEDAB4D496}
+	EndGlobalSection
 EndGlobal

xlExport.cpp

@@ -1208,6 +1208,41 @@ LPXLOPER12 xToyDupireBarrierMcRisks(
 	return results;
 }
 
+extern "C" __declspec(dllexport)
+LPXLOPER12 xSobolPoints(
+    double              numPoints,
+    double              dimension,
+    double              anti,
+    double              skip)
+{
+    FreeAllTempMemory();
+
+    if (numPoints <= 0.0 || dimension <= 0.0) return TempErr12(xlerrNA);
+
+    auto rng = make_unique<Sobol>();
+    rng->init(int(dimension));
+    rng->skipTo((unsigned)skip);
+
+    vector<double> pt((int) dimension);
+    matrix<double> pts((int) numPoints, (int) dimension);
+
+    int i = 0;
+    while (i < numPoints)
+    {
+        rng->nextU(pt);
+        copy(pt.begin(), pt.end(), pts[i]);
+        ++i;
+
+        if (i < numPoints && anti > 0.5)
+        {
+            for (double& xi : pt) xi = 1 - xi;
+            copy(pt.begin(), pt.end(), pts[i]);
+            ++i;
+        }
+    }
+
+	return from_matrix(pts);
+}
 
 //	Registers
 
@@ -1541,6 +1576,18 @@ extern "C" __declspec(dllexport) int xlAutoOpen(void)
         (LPXLOPER12)TempStr12(L"Toy Dupire Barrier MC AAD risks"),
         (LPXLOPER12)TempStr12(L""));
 
+    Excel12f(xlfRegister, 0, 11, (LPXLOPER12)&xDLL,
+        (LPXLOPER12)TempStr12(L"xSobolPoints"),
+        (LPXLOPER12)TempStr12(L"QBBBB"),
+        (LPXLOPER12)TempStr12(L"xSobolPoints"),
+        (LPXLOPER12)TempStr12(L"numPoints, dimension, [antithetic], [skip]"),
+        (LPXLOPER12)TempStr12(L"1"),
+        (LPXLOPER12)TempStr12(L"myOwnCppFunctions"),
+        (LPXLOPER12)TempStr12(L""),
+        (LPXLOPER12)TempStr12(L""),
+        (LPXLOPER12)TempStr12(L"Visualization of Sobol points"),
+        (LPXLOPER12)TempStr12(L""));
+
 	/* Free the XLL filename */
 	Excel12f(xlFree, 0, 1, (LPXLOPER12)&xDLL);
 

xlMemoryPool.h

@@ -19,7 +19,7 @@
 // Total amount of memory to allocate for all temporary XLOPERs
 //
 
-#define MEMORYSIZE  4194304
+#define MEMORYSIZE   16777216 
 
 class MemoryPool
 {

xlOper.h

@@ -231,6 +231,18 @@ LPXLOPER12 from_labelsAndNumbers(const vector<string>& labels, const vector<doub
     return oper;
 }
 
+LPXLOPER12 from_matrix(const matrix<double>& mat)
+{
+    const size_t n = mat.rows(), m = mat.cols();
+    if (n == 0 || m == 0) return TempErr12(xlerrNA);
+
+    LPXLOPER12 oper = TempXLOPER12();
+    resize(oper, n, m);
+    for (size_t i = 0; i < n; ++i)  for (size_t j = 0; j < m; ++j) setNum(oper, mat[i][j], i, j);
+
+    return oper;
+}
+
 LPXLOPER12 from_labelledMatrix(const vector<string>& rowLabels, const vector<string>& colLabels, const matrix<double>& mat)
 {
     const size_t n = rowLabels.size(), m = colLabels.size();