ICGaussianRng Class Template Reference

#include <ql/RandomNumbers/inversecumgaussianrng.hpp>

List of all members.


Detailed Description

template<class RNG, class I>
class QuantLib::ICGaussianRng< RNG, I >

Inverse cumulative Gaussian random number generator.

It uses a uniform deviate in (0, 1) as the source of cumulative normal distribution values. Then an inverse cumulative normal distribution is used as it is approximately a Gaussian deviate with average 0.0 and standard deviation 1.0.

The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

The inverse cumulative normal distribution is supplied by I.

Class I must implement the following interface:

I::I(); Real I::operator() const;


Public Types

typedef Sample< Realsample_type
typedef RNG urng_type

Public Member Functions

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


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen