QuantLib_BoxMullerGaussianRng man page

BoxMullerGaussianRng< RNG > — Gaussian random number generator.


#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;


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BoxMullerGaussianRng(3), ql-next(3), sample_type(3) and urng_type(3) are aliases of QuantLib_BoxMullerGaussianRng(3).

QuantLib Version 1.8.1 Fri Sep 23 2016