QuantLib_PolarStudentTRng man page

PolarStudentTRng< URNG > — Student t random number generator.  


#include <ql/experimental/math/polarstudenttrng.hpp>

Public Types

typedef Sample< Real > sample_type
typedef URNG urng_type

Public Member Functions

PolarStudentTRng (Real degFreedom, BigNatural seed=0)
PolarStudentTRng (Real degFreedom, const URNG &urng)
sample_type next () const
returns a sample from a Student-t distribution

Detailed Description

template<class URNG>

class QuantLib::PolarStudentTRng< URNG >" Student t random number generator.

Polar transformation based Student T random number generator. See 'Polar Generation of Random Variates With the t-Distribution', Ralph W. Bailey, April 1994, in Mathematics of Computation, Vol 62-206 page 779. The one implemented here is a variant of this algorithm from 'Random  Number Generation and Monte Carlo Methods', Springer, 2003, page 185. Using a uniform RNG on a [-1,1] support, the extra call to the uniform generator (used for the sign of the sample) is avoided.

Class RNG must implement the following interface:

URNG::sample_type RNG::next() const;

do not use with a low-discrepancy sequence generator.


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Referenced By

PolarStudentTRng(3) is an alias of QuantLib_PolarStudentTRng(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib