C++：实现量化Mersenne twister梅森旋转算法测试实例

最新推荐文章于 2025-07-13 19:46:17 发布

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最新推荐文章于 2025-07-13 19:46:17 发布

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本文链接：https://blog.csdn.net/it_xiangqiang/article/details/128364547

这是一篇原创的C++博客，详细介绍了如何实现量化Mersenne Twister，一种著名的随机数生成算法。文中提供了测试实例，探讨了在量化计算中的应用。

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C++：实现量化Mersenne twister梅森旋转算法测试实例



#include "mersennetwister.hpp"
#include "utilities.hpp"
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>

using namespace QuantLib;
using namespace boost::unit_test_framework;

void MersenneTwisterTest::testValues() {
   
   

    BOOST_TEST_MESSAGE("Testing Mersenne twister...");

    // the following numbers are provided by MT authors in order
    // to check any actual implementation of MT
    static const unsigned long referenceLongValues[] = {
   
   
        1067595299UL,  955945823UL,  477289528UL, 4107218783UL, 4228976476UL,
        3344332714UL, 3355579695UL,  227628506UL,  810200273UL, 2591290167UL,
        2560260675UL, 3242736208UL,  646746669UL, 1479517882UL, 4245472273UL,
        1143372638UL, 3863670494UL, 3221021970UL, 1773610557UL, 1138697238UL,
        1421897700UL, 1269916527UL, 2859934041UL, 1764463362UL, 3874892047UL,
        3965319921UL,   72549643UL, 2383988930UL, 2600218693UL, 3237492380UL,
        2792901476UL,  725331109UL,  605841842UL,  271258942UL,  715137098UL,
        3297999536UL, 1322965544UL, 4229579109UL, 1395091102UL, 3735697720UL,
        2101727825UL, 3730287744UL, 2950434330UL, 1661921839UL, 2895579582UL,
        2370511479UL, 1004092106UL, 2247096681UL, 2111242379UL, 3237345263UL,
        4082424759UL,  219785033UL, 2454039889UL, 3709582971UL,  835606218UL,
        2411949883UL, 2735205030UL,  756421180UL, 2175209704UL, 1873865952UL,
        2762534237UL, 4161807854UL, 3351099340UL,  181129879UL, 3269891896UL,
         776029799UL, 2218161979UL, 3001745796UL, 1866825872UL, 2133627728UL,
          34862734UL, 1191934573UL, 3102311354UL, 2916517763UL, 1012402762UL,
        2184831317UL, 4257399449UL, 2899497138UL, 3818095062UL, 3030756734UL,
        1282161629UL,  420003642UL, 2326421477UL, 2741455717UL, 1278020671UL,
        3744179621UL,  271777016UL, 2626330018UL, 2560563991UL, 3055977700UL,
        4233527566UL, 1228397661UL, 3595579322UL, 1077915006UL, 2395931898UL,
        1851927286UL, 3013683506UL, 1999971931UL, 3006888962UL, 1049781534UL,
        1488758959UL, 3491776230UL,  104418065UL, 2448267297UL, 3075614115UL,
        3872332600UL,  891912190UL, 3936547759UL, 2269180963UL, 2633455084UL,
        1047636807UL, 2604612377UL, 2709305729UL, 1952216715UL,  207593580UL,
        2849898034UL,  670771757UL, 2210471108UL,  467711165UL,  263046873UL,
        3569667915UL, 1042291111UL, 3863517079UL, 1464270005UL, 2758321352UL,
        3790799816UL, 2301278724UL, 3106281430UL,    7974801UL, 2792461636UL,
         555991332UL,  621766759UL, 1322453093UL,  853629228UL,  686962251UL,
        1455120532UL,  957753161UL, 1802033300UL, 1021534190UL, 3486047311UL,
        1902128914UL, 3701138056UL, 4176424663UL, 1795608698UL,  560858864UL,
        3737752754UL, 3141170998UL, 1553553385UL, 3367807274UL,  711546358UL,
        2475125503UL,  262969859UL,  251416325UL, 2980076994UL, 1806565895UL,
         969527843UL, 3529327173UL, 2736343040UL, 2987196734UL, 1649016367UL,
        2206175811UL, 3048174801UL, 3662503553UL, 3138851612UL, 2660143804UL,
        1663017612UL, 1816683231UL,  411916003UL, 3887461314UL, 2347044079UL,
        1015311755UL, 1203592432UL, 2170947766UL, 2569420716UL,  813872093UL,
        1105387678UL, 1431142475UL,  220570551UL, 4243632715UL, 4179591855UL,
        2607469131UL, 3090613241UL,  282341803UL, 1734241730UL, 1391822177UL,
        1001254810UL,  827927915UL, 1886687171UL, 3935097347UL, 2631788714UL,
        3905163266UL,  110554195UL, 2447955646UL, 3717202975UL, 3304793075UL,
        3739614479UL, 3059127468UL,  953919171UL, 2590123714UL, 1132511021UL,
        3795593679UL, 2788030429UL,  982155079UL, 3472349556UL,  859942552UL,
        2681007391UL, 2299624053UL,  647443547UL,  233600422UL,  608168955UL,
        3689327453UL, 1849778220UL, 1608438222UL, 3968158357UL, 2692977776UL,
        2851872572UL,  246750393UL, 3582818628UL, 3329652309UL, 4036366910UL,
        1012970930UL,  950780808UL, 3959768744UL, 2538550045UL,  191422718UL,
        2658142375UL, 3276369011UL, 2927737484UL, 1234200027UL, 1920815603UL,
        3536074689UL, 1535612501UL, 2184142071UL, 3276955054UL,  428488088UL,
        2378411984UL, 4059769550UL, 3913744741UL, 2732139246UL,   64369859UL,
        3755670074UL,  842839565UL, 2819894466UL, 2414718973UL, 1010060670UL,
        1839715346UL, 2410311136UL,  152774329UL, 3485009480UL, 4102101512UL,
        2852724304UL,  879944024UL, 1785007662UL, 2748284463UL, 1354768064UL,
        3267784736UL, 2269127717UL, 3001240761UL, 3179796763UL,  895723219UL,
         865924942UL, 4291570937UL,   89355264UL, 1471026971UL, 4114180745UL,
        3201939751UL, 2867476999UL, 2460866060UL, 3603874571UL, 2238880432UL,
        3308416168UL, 2072246611UL, 2755653839UL, 3773737248UL, 1709066580UL,
        4282731467UL, 2746170170UL, 2832568330UL,  433439009UL, 3175778732UL,
          26248366UL, 2551382801UL,  183214346UL, 3893339516UL, 1928168445UL,
        1337157619UL, 3429096554UL, 3275170900UL, 1782047316UL, 4264403756UL,
        1876594403UL, 4289659572UL, 3223834894UL, 1728705513UL, 4068244734UL,
        2867840287UL, 1147798696UL,  302879820UL, 1730407747UL, 1923824407UL,
        1180597908UL, 1569786639UL,  198796327UL,  560793173UL, 2107345620UL,
        2705990316UL, 3448772106UL, 3678374155UL,  758635715UL,  884524671UL,
         486356516UL, 1774865603UL, 3881226226UL, 2635213607UL, 1181121587UL,
        1508809820UL, 3178988241UL, 1594193633UL, 1235154121UL,  326117244UL,
        2304031425UL,  937054774UL, 2687415945UL, 3192389340UL, 2003740439UL,
        1823766188UL, 2759543402UL,   10067710UL, 1533252662UL, 4132494984UL,
          82378136UL,  420615890UL, 3467563163UL,  541562091UL, 3535949864UL,
        2277319197UL, 3330822853UL, 3215654174UL, 4113831979UL, 4204996991UL,
        2162248333UL, 3255093522UL, 2219088909UL, 2978279037UL,  255818579UL,
        2859348628UL, 3097280311UL, 2569721123UL, 1861951120UL, 2907080079UL,
        2719467166UL,  998319094UL, 2521935127UL, 2404125338UL,  259456032UL,
        2086860995UL, 1839848496UL, 1893547357UL, 2527997525UL, 1489393124UL,
        2860855349UL,   76448234UL, 2264934035UL,  744914583UL, 2586791259UL,
        1385380501UL,   66529922UL, 1819103258UL, 1899300332UL, 2098173828UL,
        1793831094UL,  276463159UL,  360132945UL, 4178212058UL,  595015228UL,
         177071838UL, 2800080290UL, 1573557746UL, 1548998935UL,  378454223UL,
        1460534296UL, 1116274283UL, 3112385063UL, 3709761796UL,  827999348UL,
        3580042847UL, 1913901014UL,  614021289UL, 4278528023UL, 1905177404UL,
          45407939UL, 3298183234UL, 1184848810UL, 3644926330UL, 3923635459UL,
        1627046213UL, 3677876759UL,  969772772UL, 1160524753UL, 1522441192UL,
         452369933UL, 1527502551UL,  832490847UL,