QuantLib_InverseCumulativeRng (3) - Linux Manuals

QuantLib_InverseCumulativeRng: Inverse cumulative random number generator.

NAME

QuantLib::InverseCumulativeRng - Inverse cumulative random number generator.

SYNOPSIS

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

Public Types

typedef Sample< Real > sample_type

typedef RNG urng_type

Public Member Functions

InverseCumulativeRng (const RNG &uniformGenerator)

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

Detailed Description

template<class RNG, class IC> class QuantLib::InverseCumulativeRng< RNG, IC >

It uses a uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.

The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

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

The inverse cumulative distribution is supplied by IC.

Class IC must implement the following interface:

            IC::IC();
            Real IC::operator() const;

Author

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