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QuantLib_BoxMullerGaussianRng
Langue: en
Version: 166422 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::BoxMullerGaussianRng - Gaussian random number generator.SYNOPSIS
#include <ql/math/randomnumbers/boxmullergaussianrng.hpp>
Public Types
typedef Sample< Real > sample_type
typedef RNG urng_type
Public Member Functions
BoxMullerGaussianRng (const RNG &uniformGenerator)
sample_type next () const
returns a sample from a Gaussian distribution
Detailed Description
template<class RNG> class QuantLib::BoxMullerGaussianRng< RNG >
Gaussian random number generator.It uses the well-known Box-Muller transformation to return a normal distributed Gaussian deviate with average 0.0 and standard deviation of 1.0, from a uniform deviate in (0,1) supplied by RNG.
Class RNG must implement the following interface:
RNG::sample_type RNG::next() const;
Author
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