CLGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

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

Collaboration diagram for CLGaussianRng< RNG >:

Public Types
typedef Sample< Real >	sample_type
typedef RNG	urng_type

Public Member Functions
	CLGaussianRng (const RNG &uniformGenerator)
sample_type	next () const
	returns a sample from a Gaussian distribution More...

Private Attributes
RNG	uniformGenerator_

Detailed Description

template<class RNG>
class QuantLib::CLGaussianRng< RNG >

Gaussian random number generator.

It uses the well-known fact that the sum of 12 uniform deviate in (-.5,.5) is approximately a Gaussian deviate with average 0 and standard deviation 1. The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Definition at line 44 of file centrallimitgaussianrng.hpp.

Member Typedef Documentation

sample_type

typedef Sample<Real> sample_type

Definition at line 46 of file centrallimitgaussianrng.hpp.

urng_type

typedef RNG urng_type

Definition at line 47 of file centrallimitgaussianrng.hpp.

Constructor & Destructor Documentation

CLGaussianRng()

CLGaussianRng ( const RNG &  uniformGenerator )

explicit

Definition at line 56 of file centrallimitgaussianrng.hpp.

Member Function Documentation

next()

CLGaussianRng< RNG >::sample_type next

returns a sample from a Gaussian distribution

Definition at line 61 of file centrallimitgaussianrng.hpp.

Member Data Documentation

uniformGenerator_

RNG uniformGenerator_

private

Definition at line 52 of file centrallimitgaussianrng.hpp.