QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Student t random number generator. More...
#include <polarstudenttrng.hpp>
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_ |
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:
Definition at line 50 of file polarstudenttrng.hpp.
typedef Sample<Real> sample_type |
Definition at line 52 of file polarstudenttrng.hpp.
typedef URNG urng_type |
Definition at line 53 of file polarstudenttrng.hpp.
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explicit |
Definition at line 55 of file polarstudenttrng.hpp.
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explicit |
Definition at line 62 of file polarstudenttrng.hpp.
PolarStudentTRng< URNG >::sample_type next |
returns a sample from a Student-t distribution
Definition at line 78 of file polarstudenttrng.hpp.
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private |
Definition at line 72 of file polarstudenttrng.hpp.
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mutableprivate |
Definition at line 73 of file polarstudenttrng.hpp.