Adding ZigguratGaussianRng<RNG>

QuantLib.vcxproj

@@ -1128,6 +1128,7 @@
     <ClInclude Include="ql\math\randomnumbers\sobolrsg.hpp" />
     <ClInclude Include="ql\math\randomnumbers\stochasticcollocationinvcdf.hpp" />
     <ClInclude Include="ql\math\randomnumbers\xoshiro256starstaruniformrng.hpp" />
+    <ClInclude Include="ql\math\randomnumbers\zigguratgaussianrng.hpp" />
     <ClInclude Include="ql\math\richardsonextrapolation.hpp" />
     <ClInclude Include="ql\math\rounding.hpp" />
     <ClInclude Include="ql\math\sampledcurve.hpp" />

QuantLib.vcxproj.filters

@@ -1302,6 +1302,9 @@
     <ClInclude Include="ql\math\randomnumbers\xoshiro256starstaruniformrng.hpp">
       <Filter>math\randomnumbers</Filter>
     </ClInclude>
+    <ClInclude Include="ql\math\randomnumbers\zigguratgaussianrng.hpp">
+      <Filter>math\randomnumbers</Filter>
+    </ClInclude>
     <ClInclude Include="ql\math\solvers1d\all.hpp">
       <Filter>math\solvers1D</Filter>
     </ClInclude>

ql/CMakeLists.txt

@@ -1537,6 +1537,7 @@ set(QL_HEADERS
     math/randomnumbers/sobolrsg.hpp
     math/randomnumbers/stochasticcollocationinvcdf.hpp
     math/randomnumbers/xoshiro256starstaruniformrng.hpp
+    math/randomnumbers/zigguratgaussianrng.hpp
     math/richardsonextrapolation.hpp
     math/rounding.hpp
     math/sampledcurve.hpp

ql/math/randomnumbers/Makefile.am

@@ -25,7 +25,8 @@ this_include_HEADERS = \
 	sobolbrownianbridgersg.hpp \
 	sobolrsg.hpp \
 	stochasticcollocationinvcdf.hpp \
-	xoshiro256starstaruniformrng.hpp
+	xoshiro256starstaruniformrng.hpp \
+	zigguratgaussianrng.hpp
 
 cpp_files = \
 	faurersg.cpp \

ql/math/randomnumbers/all.hpp

@@ -23,4 +23,5 @@
 #include <ql/math/randomnumbers/sobolrsg.hpp>
 #include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>
 #include <ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp>
+#include <ql/math/randomnumbers/zigguratgaussianrng.hpp>
 

test-suite/CMakeLists.txt

@@ -171,6 +171,7 @@ set(QL_TEST_SOURCES
     xoshiro256starstar.cpp
     zabr.cpp
     zerocouponswap.cpp
+    zigguratgaussian.cpp
 )
 
 set(QL_TEST_HEADERS

test-suite/Makefile.am

@@ -171,7 +171,8 @@ QL_TEST_SRCS = \
 	vpp.cpp \
 	xoshiro256starstar.cpp \
 	zabr.cpp \
-	zerocouponswap.cpp
+	zerocouponswap.cpp \
+	zigguratgaussian.cpp
 
 
 QL_TEST_HDRS = \

test-suite/testsuite.vcxproj

@@ -808,6 +808,7 @@
     <ClCompile Include="xoshiro256starstar.cpp" />
     <ClCompile Include="zabr.cpp" />
     <ClCompile Include="zerocouponswap.cpp" />
+    <ClCompile Include="zigguratgaussian.cpp" />
     <ClCompile Include="quantlibtestsuite.cpp">
       <IncludeInUnityFile>false</IncludeInUnityFile>
     </ClCompile>

test-suite/testsuite.vcxproj.filters

@@ -461,6 +461,9 @@
     <ClCompile Include="xoshiro256starstar.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="zigguratgaussian.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="quantlibtestsuite.cpp" />
     <ClCompile Include="binaryoption.cpp">
       <Filter>Source Files</Filter>

test-suite/zigguratgaussian.cpp

@@ -0,0 +1,69 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2024 Ralf Konrad Eckel
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <[email protected]>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "toplevelfixture.hpp"
+#include <ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp>
+#include <ql/math/randomnumbers/zigguratgaussianrng.hpp>
+#include <ql/math/statistics/incrementalstatistics.hpp>
+#include <iostream>
+#include <numeric>
+
+using namespace QuantLib;
+
+BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
+
+BOOST_AUTO_TEST_SUITE(ZigguratGaussianTests)
+
+BOOST_AUTO_TEST_CASE(testStatisticsOfNextReal) {
+    BOOST_TEST_MESSAGE("Testing ZigguratGaussianRng<Xoshiro256StarStarUniformRng>::nextReal() for "
+                       "mean, variance, skewness and kurtosis...");
+    auto seed = 42UL;
+    auto uniformRandom = Xoshiro256StarStarUniformRng(seed);
+    auto random = ZigguratGaussianRng<Xoshiro256StarStarUniformRng>(uniformRandom);
+
+    auto randoms = IncrementalStatistics();
+
+    auto iterations = 10'000'000;
+    for (auto j = 0; j < iterations; ++j) {
+        Real next = random.next().value;
+        randoms.add(next);
+    }
+
+    auto mean = randoms.mean();
+    auto variance = randoms.variance();
+    auto skewness = randoms.skewness();
+    auto kurtosis = randoms.kurtosis();
+
+    if (std::abs(mean) > 0.001) {
+        BOOST_ERROR("Mean " << mean << " for seed " << seed << " is not close to 0.");
+    }
+    if (std::abs(1.0 - variance) > 0.005) {
+        BOOST_ERROR("Variance " << variance << " for seed " << seed << " is not close to 1.");
+    }
+    if (std::abs(skewness) > 0.001) {
+        BOOST_ERROR("Skewness " << skewness << " for seed " << seed << " is not close to 0.");
+    }
+    if (std::abs(kurtosis) > 0.03) {
+        BOOST_ERROR("Kurtosis " << kurtosis << " for seed " << seed << " is not close to 0.");
+    }
+}
+
+BOOST_AUTO_TEST_SUITE_END()
+
+BOOST_AUTO_TEST_SUITE_END()