QuantLib::RandomNumbers Namespace Reference


Detailed Description

Random Number Generators and Low Discrepancy Sequences.

See sect. Random number and low discrepancy sequence generators


Compounds

class  BoxMullerGaussianRng
 Gaussian random number generator. More...

class  CLGaussianRng
 Gaussian random number generator. More...

class  HaltonRsg
 Halton low-discrepancy sequence generator. More...

class  ICGaussianRng
 Inverse cumulative Gaussian random number generator. More...

class  ICGaussianRsg
 Inverse cumulative Gaussian random sequence generator. More...

class  KnuthUniformRng
 Uniform random number generator. More...

class  LecuyerUniformRng
 Uniform random number generator. More...

class  MersenneTwisterUniformRng
 Uniform random number generator. More...

class  RandomArrayGenerator
 Generates random arrays using a random number generator. More...

class  RandomSequenceGenerator
 Random sequence generator based on a pseudo-random number generator. More...

class  SobolRsg
 Sobol low-discrepancy sequence generator. More...


Typedefs

typedef MonteCarlo::PseudoRandom::urng_type UniformRandomGenerator
 default choice for uniform random number generator.

typedef MonteCarlo::PseudoRandom::rng_type GaussianRandomGenerator
 default choice for Gaussian random number generator.

typedef RandomArrayGenerator<
GaussianRandomGenerator
GaussianArrayGenerator
 default choice for Gaussian array generator.

typedef MonteCarlo::PseudoRandom::ursg_type UniformRandomSequenceGenerator
 default choice for uniform random sequence generator.

typedef MonteCarlo::PseudoRandom::rsg_type GaussianRandomSequenceGenerator
 default choice for Gaussian random sequence generator.

typedef MonteCarlo::LowDiscrepancy::ursg_type UniformLowDiscrepancySequenceGenerator
typedef MonteCarlo::LowDiscrepancy::rsg_type GaussianLowDiscrepancySequenceGenerator


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