add BrownianGenerator

Author: thrasibule

quantlib/models/marketmodels/__init__.py

@@ -0,0 +1,14 @@
+from libcpp.vector cimport vector
+from quantlib.types cimport Real, Size
+from quantlib.handle cimport shared_ptr
+
+cdef extern from 'ql/models/marketmodels/browniangenerator.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass BrownianGenerator:
+        Real nextStep(vector[Real]&) except +
+        Real nextPath()
+
+        Size numberOfFactors() const
+        Size numberOfSteps() const
+
+    cdef cppclass BrownianGeneratorFactory:
+        shared_ptr[BrownianGenerator] create(Size factor, Size steps) const

quantlib/models/marketmodels/_brownian_generator.pxd

@@ -0,0 +1,8 @@
+from quantlib.handle cimport shared_ptr
+from . cimport _brownian_generator as _bg
+
+cdef class BrownianGenerator:
+    cdef shared_ptr[_bg.BrownianGenerator] gen
+
+cdef class BrownianGeneratorFactory:
+    cdef _bg.BrownianGeneratorFactory* factory

quantlib/models/marketmodels/brownian_generator.pxd

@@ -0,0 +1,24 @@
+from libcpp.vector cimport vector
+from quantlib.types cimport Real, Size
+
+cdef class BrownianGenerator:
+    def next_step(self, vector[Real] v):
+        """ len(v) needs to be equal to number of factors """
+        return self.gen.get().nextStep(v)
+
+    def next_path(self):
+        return self.gen.get().nextPath()
+
+    @property
+    def number_of_factors(self):
+        return self.gen.get().numberOfFactors()
+
+    @property
+    def number_of_steps(self):
+        return self.gen.get().numberOfSteps()
+
+cdef class BrownianGeneratorFactory:
+    def create(self, Size factors, Size steps):
+        cdef BrownianGenerator r = BrownianGenerator.__new__(BrownianGenerator)
+        r.gen = self.factory.create(factors, steps)
+        return r

quantlib/models/marketmodels/brownian_generator.pyx

@@ -0,0 +1,14 @@
+from quantlib.types cimport Size
+from quantlib.types cimport Real, Size
+from quantlib.handle cimport shared_ptr
+from .._brownian_generator cimport BrownianGenerator, BrownianGeneratorFactory
+
+cdef extern from 'ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass MTBrownianGenerator(BrownianGenerator):
+        MTBrownianGenerator(Size factors,
+                            Size steps,
+                            unsigned long seed) # = 0
+
+    cdef cppclass MTBrownianGeneratorFactory(BrownianGeneratorFactory):
+        MTBrownianGeneratorFactory(unsigned long seed) # = 0
+        shared_ptr[BrownianGenerator] create(Size factor, Size steps) const

quantlib/models/marketmodels/browniangenerators/__init__.py

@@ -0,0 +1,7 @@
+from ..brownian_generator cimport BrownianGenerator, BrownianGeneratorFactory
+
+cdef class MTBrownianGenerator(BrownianGenerator):
+    pass
+
+cdef class MTBrownianGeneratorFactory(BrownianGeneratorFactory):
+    pass

quantlib/models/marketmodels/browniangenerators/_mt_brownian_generator.pxd

@@ -0,0 +1,11 @@
+from quantlib.types cimport Size
+from . cimport _mt_brownian_generator as _mtbg
+
+cdef class MTBrownianGenerator(BrownianGenerator):
+    def __init__(self, Size factors, Size steps, unsigned long seed=0):
+        self.gen.reset(new _mtbg.MTBrownianGenerator(factors, steps, seed))
+
+
+cdef class MTBrownianGeneratorFactory(BrownianGeneratorFactory):
+    def __init__(self, unsigned long seed=0):
+        self.factory = new _mtbg.MTBrownianGeneratorFactory(seed)