Style change and limit number of simulation results sent

serve.go

@@ -30,6 +30,10 @@ func index(w http.ResponseWriter, r *http.Request) {
 		mcOpt.PriceMonteCarlo()
 		bsOpt.PriceClosedForm()
 
+		// Only send the first 10000 levels, as the data going over
+		// the wire would otherwise be very significant
+		mcOpt.Levels = mcOpt.Levels[:1000]
+
 		options := make(map[string]Option)
 		options["MonteCarlo"] = mcOpt
 		options["ClosedForm"] = bsOpt

sobol.go

@@ -0,0 +1,117 @@
+package main
+
+import (
+	"log"
+)
+
+const (
+	MaxDim = uint32(6)
+	MaxBit = uint32(30)
+	maxSeqNum = 1<<MaxBit
+	fac = 1.0 / maxSeqNum
+)
+
+var (
+	initMDeg = [MaxDim]uint32{1,2,3,3,4,4}
+	initIp = [MaxDim]uint32{0,1,1,2,1,4}
+	initIv = [MaxBit*MaxDim]uint32{
+		1,1,1,1,1,1,3,1,3,3,1,1,5,7,7,3,3,5,15,11,5,15,13,9,
+	}
+)
+
+type SobolSequence struct {
+	seqNum uint32
+	ix, mdeg, ip [MaxDim]uint32
+	iv [MaxBit*MaxDim]uint32
+	fac float64
+
+	isInit bool
+}
+// See Press et al. 2007.
+func NewSobolSequence() *SobolSequence {
+	seq := &SobolSequence{}
+	seq.Init()
+	return seq
+}
+
+// See Press et al. 2007.
+func (seq *SobolSequence) Init() {
+	for i := range seq.ix { seq.ix[i] = 0 }
+	if seq.isInit { return }
+	seq.seqNum = 0
+
+	seq.iv = initIv
+	seq.ip = initIp
+	seq.mdeg = initMDeg
+
+	for k := uint32(0); k < MaxDim; k++ {
+		for j := uint32(0); j < seq.mdeg[k]; j++ {
+			seq.iv[MaxDim * j + k] <<= MaxBit - j - 1
+		}
+
+		deg := seq.mdeg[k]
+		for j := deg; j < MaxBit; j++ {
+			ipp := seq.ip[k]
+			i := seq.iv[MaxDim * (j - deg) + k]
+			i ^= (i >> deg)
+
+			for l := deg - 1; l >= 1; l-- {
+				if 1 & ipp == 1 { i ^= seq.iv[MaxDim * (j - 1) + k] }
+				ipp >>= 1
+			}
+
+			seq.iv[MaxDim * j + k] = i
+		}
+	}
+
+	seq.isInit = true
+}
+
+// See Press et al. 2007.
+func (seq *SobolSequence) Next(dim int) []float64 {
+	target := make([]float64, dim)
+	seq.NextAt(target)
+	return target
+}
+
+// NextAt is equivelent to Next, except the Sobol sequence is returned in-place.
+func (seq *SobolSequence) NextAt(target []float64) {
+	dim := uint32(len(target))
+	if dim > MaxDim {
+		log.Fatalf("Target dim %d is larger than MaxDim %d.\n", dim, MaxDim)
+	} else if seq.seqNum >= maxSeqNum {
+		log.Fatalf("Exceeded maximum seq num of %d for MaxBit %d.\n",
+			maxSeqNum, MaxBit,
+		)
+	}
+
+	seq.seqNum++
+
+	zeroIdx := uint32(0)
+	for zeroIdx = 0; zeroIdx < MaxBit; zeroIdx++ {
+		if (seq.seqNum & (1<<zeroIdx)) == 0 { break }
+	}
+
+	im := zeroIdx * MaxDim
+	for k := uint32(0); k < dim; k++ {
+		seq.ix[k] ^= seq.iv[im + k]
+		target[k] = float64(seq.ix[k]) * fac
+	}
+}
+
+func min(x, y int) int {
+	if x <= y { return x }
+	return y
+}
+
+/*
+func main() {
+	seq := NewSobolSequence()
+	xs := []float64{0, 0}
+	for i := 0; i < 1<<12; i++ {
+		seq.NextAt(xs)
+		fmt.Println(xs[0], xs[1])
+	}
+	os.Exit(0)
+}
+*/

templates/assets/styles.css

@@ -32,6 +32,7 @@ p > input {
 	float: right;
 	margin-right: 20%;
 	text-align: right;
+	max-width: 140px;
 }
 
 table {