// Test that uniform_int<> can be used with std::random_shuffle
// Author: Jos Hickson
void test_random_shuffle()
{
typedef boost::uniform_int<> distribution_type;
typedef boost::variate_generator<boost::mt19937 &, distribution_type> generator_type;
boost::mt19937 engine1(1234);
boost::mt19937 engine2(1234);
rand_for_random_shuffle<boost::mt19937> referenceRand(engine1);
distribution_type dist(0,10);
generator_type testRand(engine2, dist);
std::vector<int> referenceVec;
for (int i = 0; i < 200; ++i)
{
referenceVec.push_back(i);
}
std::vector<int> testVec(referenceVec);
std::random_shuffle(referenceVec.begin(), referenceVec.end(), referenceRand);
std::random_shuffle(testVec.begin(), testVec.end(), testRand);
typedef std::vector<int>::iterator iter_type;
iter_type theEnd(referenceVec.end());
for (iter_type referenceIter(referenceVec.begin()), testIter(testVec.begin());
referenceIter != theEnd;
++referenceIter, ++testIter)
{
BOOST_CHECK_EQUAL(*referenceIter, *testIter);
}
}
int main()
{
boost::mt19937 engine1(1234);
boost::mt19937 engine2(1234);
boost::uniform_int<> dist(100,200);
for (int i=0; i<20; i++)
{
std::cout << dist(engine1) << " is equal to " << dist(engine2) << std::endl;
}
}
double caplet_lmm(const Date& todaysDate_,
const Date& settlementDate_,
const Date& maturity_,
Rate spot_,
Rate strike,
Rate Numeraire, //zero-coupon bond
//Volatility volatility
double correl,
double a,
double b,
double c,
double d
)
{
//SavedSettings backup;
const Size size = 10;
#if defined(QL_USE_INDEXED_COUPON)
const Real tolerance = 1e-5;
#else
const Real tolerance = 1e-12;
#endif
boost::shared_ptr<IborIndex> index = makeIndex();
boost::shared_ptr<LiborForwardModelProcess> process(new LiborForwardModelProcess(size, index));
// set-up pricing engine
const boost::shared_ptr<OptionletVolatilityStructure> capVolCurve = makeCapVolCurve(Settings::instance().evaluationDate());
Array variances = LfmHullWhiteParameterization(process, capVolCurve).covariance(0.0).diagonal();
boost::shared_ptr<LmVolatilityModel> volaModel(new LmFixedVolatilityModel(Sqrt(variances),process->fixingTimes()));
boost::shared_ptr<LmCorrelationModel> corrModel(new LmExponentialCorrelationModel(size, correl));
boost::shared_ptr<AffineModel> model(new LiborForwardModel(process, volaModel, corrModel));
const Handle<YieldTermStructure> termStructure = process->index()->forwardingTermStructure();
boost::shared_ptr<AnalyticCapFloorEngine> engine1(new AnalyticCapFloorEngine(model, termStructure));
boost::shared_ptr<Cap> cap1(new Cap(process->cashFlows(),std::vector<Rate>(size, strike)));
cap1->setPricingEngine(engine1);
return cap1->NPV();
}