CLGaussianRng Class Template Reference
#include <ql/math/randomnumbers/centrallimitgaussianrng.hpp>
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;
Public Types | |
| typedef Sample< Real > | sample_type |
| typedef RNG | urng_type |
Public Member Functions | |
| CLGaussianRng (const RNG &uniformGenerator) | |
| sample_type | next () const |
| returns a sample from a Gaussian distribution | |