add multipathgenerator

Author: thrasibule

quantlib/methods/montecarlo/_multipathgenerator.pxd

@@ -0,0 +1,18 @@
+from libcpp cimport bool
+from quantlib.handle cimport shared_ptr
+
+from quantlib._time_grid cimport TimeGrid
+from libcpp.vector cimport vector
+from ._multipath cimport MultiPath
+from ._sample cimport Sample
+from quantlib._stochastic_process cimport StochasticProcess
+
+cdef extern from 'ql/methods/montecarlo/multipathgenerator.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass MultiPathGenerator[GSG]:
+        ctypedef Sample[MultiPath] sample_type
+        MultiPathGenerator(const shared_ptr[StochasticProcess]&,
+                           const TimeGrid&,
+                           GSG generator,
+                           bool brownianBridge) # = false)
+        const sample_type& next()
+        const sample_type& antithetic()

quantlib/methods/montecarlo/multipathgenerator.pxd

@@ -0,0 +1,13 @@
+from . cimport _multipathgenerator as _mpg
+from quantlib.math.randomnumbers._randomsequencegenerator cimport RandomSequenceGenerator
+from quantlib.math.randomnumbers._rngtraits cimport PseudoRandom as QlPseudoRandom, LowDiscrepancy as QlLowDiscrepancy, ZigguratPseudoRandom
+
+
+cdef class PseudoRandomMultiPathGenerator:
+    cdef _mpg.MultiPathGenerator[QlPseudoRandom.rsg_type]* _thisptr
+
+cdef class LowDiscrepancyMultiPathGenerator:
+    cdef _mpg.MultiPathGenerator[QlLowDiscrepancy.rsg_type]* _thisptr
+
+cdef class ZigguratMultiPathGenerator:
+    cdef _mpg.MultiPathGenerator[ZigguratPseudoRandom]* _thisptr

quantlib/methods/montecarlo/multipathgenerator.pyx

@@ -0,0 +1,50 @@
+from cython.operator cimport dereference as deref
+from libcpp cimport bool
+from quantlib.stochastic_process cimport StochasticProcess
+from quantlib.time_grid cimport TimeGrid
+from quantlib.math.randomnumbers.rngtraits cimport PseudoRandom, LowDiscrepancy, FastPseudoRandom
+from ._sample cimport Sample
+from .multipath cimport MultiPath
+from . cimport _multipath as _mp
+
+cdef class PseudoRandomMultiPathGenerator:
+    def __init__(self, StochasticProcess process, TimeGrid time_grid, PseudoRandom gen, bool brownian_bridge):
+        self._thisptr = new _mpg.MultiPathGenerator[QlPseudoRandom.rsg_type](process._thisptr, time_grid._thisptr, deref(gen._thisptr), brownian_bridge)
+
+    def __next__(self):
+        cdef Sample[_mp.MultiPath]* r = <Sample[_mp.MultiPath]*>&self._thisptr.next()
+        cdef MultiPath mp = MultiPath.__new__(MultiPath)
+        mp._thisptr = new _mp.MultiPath(r.value)
+        return (r.weight, mp)
+
+    def __dealloc__(self):
+        del self._thisptr
+
+
+
+cdef class LowDiscrepancyMultiPathGenerator:
+    def __init__(self, StochasticProcess process, TimeGrid time_grid, LowDiscrepancy gen, bool brownian_bridge):
+        self._thisptr = new _mpg.MultiPathGenerator[QlLowDiscrepancy.rsg_type](process._thisptr, time_grid._thisptr, deref(gen._thisptr), brownian_bridge)
+
+    def __next__(self):
+        cdef Sample[_mp.MultiPath]* r = <Sample[_mp.MultiPath]*>&self._thisptr.next()
+        cdef MultiPath mp = MultiPath.__new__(MultiPath)
+        mp._thisptr = new _mp.MultiPath(r.value)
+        return (r.weight, mp)
+
+    def __dealloc__(self):
+        del self._thisptr
+
+
+cdef class ZigguratMultiPathGenerator:
+    def __init__(self, StochasticProcess process, TimeGrid time_grid, FastPseudoRandom gen, bool brownian_bridge):
+        self._thisptr = new _mpg.MultiPathGenerator[ZigguratPseudoRandom](process._thisptr, time_grid._thisptr, deref(gen._thisptr), brownian_bridge)
+
+    def __next__(self):
+        cdef Sample[_mp.MultiPath]* r = <Sample[_mp.MultiPath]*>&self._thisptr.next()
+        cdef MultiPath mp = MultiPath.__new__(MultiPath)
+        mp._thisptr = new _mp.MultiPath(r.value)
+        return (r.weight, mp)
+
+    def __dealloc__(self):
+        del self._thisptr