| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2004 Ferdinando Ametrano |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | #include <ql/math/randomnumbers/seedgenerator.hpp> |
| 21 | #include <ctime> |
| 22 | #if defined(BOOST_NO_STDC_NAMESPACE) |
| 23 | namespace std { using ::time; } |
| 24 | #endif |
| 25 | |
| 26 | namespace QuantLib { |
| 27 | |
| 28 | // we need to prevent rng from being default-initialized |
| 29 | SeedGenerator::SeedGenerator() : rng_(42UL) { |
| 30 | initialize(); |
| 31 | } |
| 32 | |
| 33 | void SeedGenerator::initialize() { |
| 34 | |
| 35 | // firstSeed is chosen based on clock() and used for the first rng |
| 36 | auto firstSeed = (unsigned long)(std::time(timer: nullptr)); |
| 37 | MersenneTwisterUniformRng first(firstSeed); |
| 38 | |
| 39 | // secondSeed is as random as it could be |
| 40 | // feel free to suggest improvements |
| 41 | unsigned long secondSeed = first.nextInt32(); |
| 42 | |
| 43 | MersenneTwisterUniformRng second(secondSeed); |
| 44 | |
| 45 | // use the second rng to initialize the final one |
| 46 | unsigned long skip = second.nextInt32() % 1000; |
| 47 | std::vector<unsigned long> init(4); |
| 48 | init[0]=second.nextInt32(); |
| 49 | init[1]=second.nextInt32(); |
| 50 | init[2]=second.nextInt32(); |
| 51 | init[3]=second.nextInt32(); |
| 52 | |
| 53 | rng_ = MersenneTwisterUniformRng(init); |
| 54 | |
| 55 | for (unsigned long i=0; i<skip ; i++) |
| 56 | rng_.nextInt32(); |
| 57 | } |
| 58 | |
| 59 | unsigned long SeedGenerator::get() { |
| 60 | return rng_.nextInt32(); |
| 61 | } |
| 62 | |
| 63 | } |
| 64 |