BoxMullerGaussianRng Class Template Reference
#include <ql/math/randomnumbers/boxmullergaussianrng.hpp>
Detailed Description
template<class RNG>
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;
Public Types | |
typedef Sample< Real > | sample_type |
typedef RNG | urng_type |
Public Member Functions | |
BoxMullerGaussianRng (const RNG &uniformGenerator) | |
sample_type | next () const |
returns a sample from a Gaussian distribution |