QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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randomnumbers Directory Reference

Files

file  boxmullergaussianrng.hpp [code]
 Box-Muller Gaussian random-number generator.
 
file  burley2020sobolrsg.cpp [code]
 
file  burley2020sobolrsg.hpp [code]
 scrambled Sobol sequence following Burley, 2020
 
file  centrallimitgaussianrng.hpp [code]
 Central limit Gaussian random-number generator.
 
file  faurersg.cpp [code]
 
file  faurersg.hpp [code]
 Faure low-discrepancy sequence generator.
 
file  haltonrsg.cpp [code]
 
file  haltonrsg.hpp [code]
 Halton low-discrepancy sequence generator.
 
file  inversecumulativerng.hpp [code]
 Inverse cumulative Gaussian random-number generator.
 
file  inversecumulativersg.hpp [code]
 Inverse cumulative random sequence generator.
 
file  knuthuniformrng.cpp [code]
 
file  knuthuniformrng.hpp [code]
 Knuth uniform random number generator.
 
file  latticersg.cpp [code]
 lattice rule code for low discrepancy numbers
 
file  latticersg.hpp [code]
 lattice rule code for low discrepancy numbers
 
file  latticerules.cpp [code]
 
file  latticerules.hpp [code]
 
file  lecuyeruniformrng.cpp [code]
 
file  lecuyeruniformrng.hpp [code]
 L'Ecuyer uniform random number generator.
 
file  mt19937uniformrng.cpp [code]
 
file  mt19937uniformrng.hpp [code]
 Mersenne Twister uniform random number generator.
 
file  primitivepolynomials.cpp [code]
 
file  primitivepolynomials.hpp [code]
 
file  randomizedlds.hpp [code]
 Randomized low-discrepancy sequence.
 
file  randomsequencegenerator.hpp [code]
 Random sequence generator based on a pseudo-random number generator.
 
file  ranluxuniformrng.hpp [code]
 "Luxury" random number generator.
 
file  rngtraits.hpp [code]
 random-number generation policies
 
file  seedgenerator.cpp [code]
 
file  seedgenerator.hpp [code]
 Random seed generator.
 
file  sobolbrownianbridgersg.cpp [code]
 
file  sobolbrownianbridgersg.hpp [code]
 interface class to map the functionality of SobolBrownianGenerator to the "conventional" sequence generator interface
 
file  sobolrsg.cpp [code]
 
file  sobolrsg.hpp [code]
 Sobol low-discrepancy sequence generator.
 
file  stochasticcollocationinvcdf.cpp [code]
 
file  stochasticcollocationinvcdf.hpp [code]
 
file  xoshiro256starstaruniformrng.cpp [code]
 
file  xoshiro256starstaruniformrng.hpp [code]
 xoshiro256** uniform random number generator
 
file  zigguratgaussianrng.hpp [code]
 Ziggurat Gaussian random-number generator.