boxmullergaussianrng(3)

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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