087a2f0d74
Move the pricing engine sources out of src/ into cpp/, add the closed-form engine and pybind wiring, and align tests/build targets with the new project layout. Made-with: Cursor
31 lines
854 B
C++
31 lines
854 B
C++
/**
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* @file RandomGenerator.hpp
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* @brief Random numbers for Monte Carlo (Gaussian draws).
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*/
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#ifndef QUANTENGINE_RANDOMGENERATOR_HPP
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#define QUANTENGINE_RANDOMGENERATOR_HPP
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#include <random>
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/** @brief Interface for standard normal variates. */
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class RandomGenerator {
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public:
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RandomGenerator() = default;
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virtual ~RandomGenerator() = default;
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virtual double nextGaussian() = 0;
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virtual std::vector<double> nextGaussianVector(std::size_t n) = 0;
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};
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/** @brief @c std::mt19937 with normal distribution. */
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class MersenneTwister : public RandomGenerator {
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public:
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MersenneTwister() = default;
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double nextGaussian() override;
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std::vector<double> nextGaussianVector(std::size_t n) override;
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private:
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std::mt19937 generator_;
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std::normal_distribution<> distr_ {0.0, 1.0};
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};
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#endif //QUANTENGINE_RANDOMGENERATOR_HPP
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