QuantLib_CLGaussianRng man page
CLGaussianRng< RNG > — Gaussian random number generator.
typedef Sample< Real > sample_type
typedef RNG urng_type
Public Member Functions
CLGaussianRng (const RNG &uniformGenerator)
sample_type next () const
returns a sample from a Gaussian distribution
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;
Generated automatically by Doxygen for QuantLib from the source code.
CLGaussianRng(3) is an alias of QuantLib_CLGaussianRng(3).