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