QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Types | Public Member Functions | List of all members
CLGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

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

Public Types

typedef Sample< Realsample_type
 
typedef RNG urng_type
 

Public Member Functions

 CLGaussianRng (const RNG &uniformGenerator)
 
sample_type next () const
 returns a sample from a Gaussian distribution
 

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;