ZigguratGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

#include <zigguratgaussianrng.hpp>

Collaboration diagram for ZigguratGaussianRng< RNG >:

Public Types
typedef Sample< Real >	sample_type

Public Member Functions
	ZigguratGaussianRng (const RNG &uint64Generator)
sample_type	next () const
	returns a sample from a Gaussian distribution More...
Real	nextReal () const
	return a random number from a Gaussian distribution More...

Private Types
typedef Real	ZigguratTable[257]

Private Member Functions
Real	pdf (Real x) const
Real	zeroCase (Real u) const
	compute a random number in the tail by hand More...
Real	normR () const
Real	normX (int i) const
Real	normF (int i) const

Private Attributes
RNG	uint64Generator_

Detailed Description

template<class RNG>
class QuantLib::ZigguratGaussianRng< RNG >

Gaussian random number generator.

It uses the Ziggurat transformation to return a normal distributed Gaussian deviate with average 0.0 and standard deviation of 1.0, from a random integer in the [0,0xffffffffffffffffULL]-interval like.

For a more detailed description see the article "An Improved Ziggurat Method to Generate Normal Random Samples" by Jurgen A. Doornik (https://www.doornik.com/research/ziggurat.pdf).

The code here is inspired by the rust implementation in https://github.com/rust-random/rand/blob/d42daabf65a3ceaf58c2eefc7eb477c4d5a9b4ba/rand_distr/src/normal.rs and https://github.com/rust-random/rand/blob/d42daabf65a3ceaf58c2eefc7eb477c4d5a9b4ba/rand_distr/src/utils.rs.

Class RNG must implement the following interface:

Real nextReal() const;
std::uint64_t nextInt64() const;

Currently, Xoshiro256StarStarUniformRng is the only RNG supporting this.

Definition at line 56 of file zigguratgaussianrng.hpp.

Member Typedef Documentation

sample_type

typedef Sample<Real> sample_type

Definition at line 58 of file zigguratgaussianrng.hpp.

ZigguratTable

typedef Real ZigguratTable[257]

private

Definition at line 72 of file zigguratgaussianrng.hpp.

Constructor & Destructor Documentation

ZigguratGaussianRng()

ZigguratGaussianRng ( const RNG &  uint64Generator )

explicit

Definition at line 60 of file zigguratgaussianrng.hpp.

Member Function Documentation

next()

sample_type next

(

)

const

returns a sample from a Gaussian distribution

Definition at line 64 of file zigguratgaussianrng.hpp.

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nextReal()

Real nextReal

return a random number from a Gaussian distribution

Definition at line 85 of file zigguratgaussianrng.hpp.

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pdf()

Real pdf ( Real  x ) const

private

Definition at line 125 of file zigguratgaussianrng.hpp.

zeroCase()

Real zeroCase ( Real  u ) const

private

compute a random number in the tail by hand

Definition at line 113 of file zigguratgaussianrng.hpp.

normR()

Real normR

private

Definition at line 130 of file zigguratgaussianrng.hpp.

normX()

Real normX ( int  i ) const

private

Definition at line 135 of file zigguratgaussianrng.hpp.

normF()

Real normF ( int  i ) const

private

Definition at line 206 of file zigguratgaussianrng.hpp.

Member Data Documentation

uint64Generator_

RNG uint64Generator_

private

Definition at line 70 of file zigguratgaussianrng.hpp.