Student t random number generator. More...

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

Collaboration diagram for PolarStudentTRng< URNG >:

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 More...

Private Attributes
URNG	uniformGenerator_

Real	degFreedom_

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;

Warning:: do not use with a low-discrepancy sequence generator.

Examples: BasketLosses.cpp.

Definition at line 50 of file polarstudenttrng.hpp.

Member Typedef Documentation

◆ sample_type

typedef Sample<Real> sample_type

Definition at line 52 of file polarstudenttrng.hpp.

◆ urng_type

typedef URNG urng_type

Definition at line 53 of file polarstudenttrng.hpp.

Constructor & Destructor Documentation

◆ PolarStudentTRng() [1/2]

PolarStudentTRng	(	Real	degFreedom,
		BigNatural	seed = `0`
	)

explicit

Definition at line 55 of file polarstudenttrng.hpp.

◆ PolarStudentTRng() [2/2]

PolarStudentTRng	(	Real	degFreedom,
		const URNG &	urng
	)

explicit

Definition at line 62 of file polarstudenttrng.hpp.

Member Function Documentation

◆ next()

PolarStudentTRng< URNG >::sample_type next

returns a sample from a Student-t distribution

Definition at line 78 of file polarstudenttrng.hpp.

Member Data Documentation

◆ uniformGenerator_

URNG uniformGenerator_

private

Definition at line 72 of file polarstudenttrng.hpp.

◆ degFreedom_

Real degFreedom_

mutableprivate

Definition at line 73 of file polarstudenttrng.hpp.

Public Types

Public Member Functions

Private Attributes