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Added convenience class ZigguratXoshiro256StarStarGaussianRng #1991

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Added convenience class ZigguratXoshiro256StarStarGaussianRng #1991

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Added convenience class ZigguratXoshiro256StarStarGaussianRng
ralfkonrad Jun 18, 2024
c7a6620
Using convenience class ZigguratXoshiro256StarStarGaussianRng in test…
ralfkonrad Jun 18, 2024
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13 changes: 13 additions & 0 deletions ql/math/randomnumbers/zigguratgaussianrng.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -24,6 +24,7 @@
#ifndef quantlib_ziggurat_gaussian_rng_h
#define quantlib_ziggurat_gaussian_rng_h

#include <ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp>
#include <ql/methods/montecarlo/sample.hpp>
#include <cstdint>

Expand Down Expand Up @@ -81,6 +82,18 @@ namespace QuantLib {
Real normF(int i) const;
};


//! Gaussian random number generator
/*! As Xoshiro256StarStarUniformRng is currently the only RNG supporting the above interface,
we provide a convenience class that uses it.
*/
class ZigguratXoshiro256StarStarGaussianRng
: public ZigguratGaussianRng<Xoshiro256StarStarUniformRng> {
public:
explicit ZigguratXoshiro256StarStarGaussianRng(BigNatural seed = 0)
: ZigguratGaussianRng<Xoshiro256StarStarUniformRng>(Xoshiro256StarStarUniformRng(seed)) {}
};

template <class RNG>
inline Real ZigguratGaussianRng<RNG>::nextReal() const {
while (true) {
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6 changes: 2 additions & 4 deletions test-suite/zigguratgaussian.cpp
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Expand Up @@ -18,7 +18,6 @@
*/

#include "toplevelfixture.hpp"
#include <ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp>
#include <ql/math/randomnumbers/zigguratgaussianrng.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <iostream>
Expand All @@ -31,11 +30,10 @@ BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(ZigguratGaussianTests)

BOOST_AUTO_TEST_CASE(testStatisticsOfNextReal) {
BOOST_TEST_MESSAGE("Testing ZigguratGaussianRng<Xoshiro256StarStarUniformRng>::nextReal() for "
BOOST_TEST_MESSAGE("Testing ZigguratXoshiro256StarStarGaussianRng::nextReal() for "
"mean, variance, skewness and kurtosis...");
auto seed = 42UL;
auto uniformRandom = Xoshiro256StarStarUniformRng(seed);
auto random = ZigguratGaussianRng<Xoshiro256StarStarUniformRng>(uniformRandom);
auto random = ZigguratXoshiro256StarStarGaussianRng(seed);

auto randoms = IncrementalStatistics();

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