Inverse cumulative random number generator. More...

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

Collaboration diagram for InverseCumulativeRng< RNG, IC >:

Public Types
typedef Sample< Real >	sample_type

typedef RNG	urng_type

Public Member Functions
	InverseCumulativeRng (const RNG &uniformGenerator)

sample_type	next () const
	returns a sample from a Gaussian distribution More...

Private Attributes
RNG	uniformGenerator_

IC	ICND_

Detailed Description

template<class RNG, class IC>
class QuantLib::InverseCumulativeRng< RNG, IC >

Inverse cumulative random number generator.

It uses a uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.

The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

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

The inverse cumulative distribution is supplied by IC.

Class IC must implement the following interface:

IC::IC();

Real IC::operator() const;

QuantLib::Real

QL_REAL Real

real number

Definition: types.hpp:50

Definition at line 54 of file inversecumulativerng.hpp.

Member Typedef Documentation

◆ sample_type

typedef Sample<Real> sample_type

Definition at line 56 of file inversecumulativerng.hpp.

◆ urng_type

typedef RNG urng_type

Definition at line 57 of file inversecumulativerng.hpp.

Constructor & Destructor Documentation

◆ InverseCumulativeRng()

InverseCumulativeRng ( const RNG & uniformGenerator )

explicit

Definition at line 67 of file inversecumulativerng.hpp.

Member Function Documentation

◆ next()

InverseCumulativeRng< RNG, IC >::sample_type next

returns a sample from a Gaussian distribution

Definition at line 72 of file inversecumulativerng.hpp.

Member Data Documentation

◆ uniformGenerator_

RNG uniformGenerator_

private

Definition at line 62 of file inversecumulativerng.hpp.

◆ ICND_

IC ICND_