QuantLib_BoxMullerGaussianRng man page

typedef Sample< Real > sample_type
typedef RNG urng_type

BoxMullerGaussianRng (const RNG &uniformGenerator)
sample_type next () const
returns a sample from a Gaussian distribution

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;