QuantLib_CLGaussianRng (3) - Linux Manuals

QuantLib_CLGaussianRng: Gaussian random number generator.

NAME

QuantLib::CLGaussianRng - Gaussian random number generator.

SYNOPSIS

#include <ql/math/randomnumbers/centrallimitgaussianrng.hpp>

Public Types

typedef Sample< Real > sample_type

typedef RNG urng_type

Public Member Functions

CLGaussianRng (const RNG &uniformGenerator)

sample_type next () const
returns a sample from a Gaussian distribution

Detailed Description

template<class RNG> class QuantLib::CLGaussianRng< RNG >

It uses the well-known fact that the sum of 12 uniform deviate in (-.5,.5) is approximately a Gaussian deviate with average 0 and standard deviation 1. The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

            RNG::sample_type RNG::next() const;

Author

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