InverseCumulativeRng Class Template Reference
#include <ql/math/randomnumbers/inversecumulativerng.hpp>
Detailed Description
template<class RNG, class IC>
class QuantLib::InverseCumulativeRng< RNG, IC >
Inverse cumulative random number generator.
It uses a uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.
The uniform deviate is supplied by RNG.
Class RNG must implement the following interface:
RNG::sample_type RNG::next() const;
The inverse cumulative distribution is supplied by IC.
Class IC must implement the following interface:
IC::IC(); Real IC::operator() const;
Public Types | |
typedef Sample< Real > | sample_type |
typedef RNG | urng_type |
Public Member Functions | |
InverseCumulativeRng (const RNG &uniformGenerator) | |
sample_type | next () const |
returns a sample from a Gaussian distribution |