QuantLib_CLGaussianRng (3) - Linux Man Pages
QuantLib_CLGaussianRng: Gaussian random number generator.
QuantLib::CLGaussianRng - Gaussian random number generator.
Public Member Functions
template<class RNG> class QuantLib::CLGaussianRng< RNG >Gaussian random number generator.
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;