CLGaussianRng Class Template Reference

#include <centrallimitgaussianrng.hpp>

List of all members.


Detailed Description

template<class RNG>
class QuantLib::RandomNumbers::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;


Public Types

typedef MonteCarlo::Sample<
double > 
sample_type

Public Member Functions

 CLGaussianRng (const RNG &uniformGenerator)
 CLGaussianRng (long seed=0)
sample_type next () const
 returns next sample from the Gaussian distribution


Constructor & Destructor Documentation

CLGaussianRng long  seed = 0  )  [explicit]
 

Deprecated:
initialize with a random number generator instead.


The documentation for this class was generated from the following file:

QuantLib.org
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