BoxMullerGaussianRng (3) Linux Manual Page
QuantLib::BoxMullerGaussianRng – Gaussian random number generator.
Synopsis
#include <ql/math/randomnumbers/boxmullergaussianrng.hpp>Public Types
typedef Sample< Real > sample_typetypedef 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;