QuantLib_BoxMullerGaussianRng man page
BoxMullerGaussianRng< RNG > — 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
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
The man pages BoxMullerGaussianRng(3), ql-next(3), sample_type(3) and urng_type(3) are aliases of QuantLib_BoxMullerGaussianRng(3).