QuantLib_CLGaussianRng man page

CLGaussianRng< RNG > — Gaussian random number generator.  


#include <ql/math/randomnumbers/centrallimitgaussianrng.hpp>

Public Types

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

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;


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Referenced By

The man page CLGaussianRng(3) is an alias of QuantLib_CLGaussianRng(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib