brownian_bridge.hpp

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#pragma once
 
#include <cstddef>
#include <vector>
 
namespace quant::qmc {
 
class BrownianBridge {
  public:
    BrownianBridge(std::size_t steps, double maturity);
 
    std::size_t size() const { return size_; }
 
    void transform(const double* normals, double* increments) const;
 
  private:
    void initialize();
 
    std::size_t size_{};
    double maturity_{};
    std::vector<double> times_;
    std::vector<std::size_t> bridge_index_;
    std::vector<std::size_t> left_index_;
    std::vector<std::size_t> right_index_;
    std::vector<double> left_weight_;
    std::vector<double> right_weight_;
    std::vector<double> std_dev_;
    mutable std::vector<double> workspace_;
};
 
} // namespace quant::qmc