QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Types | Public Member Functions | List of all members
BoxMullerGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

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

Public Types

typedef Sample< Realsample_type
 
typedef RNG urng_type
 

Public Member Functions

 BoxMullerGaussianRng (const RNG &uniformGenerator)
 
sample_type next () const
 returns a sample from a Gaussian distribution
 

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;