ICGaussianRsg Class Template Reference

#include <ql/RandomNumbers/inversecumgaussianrsg.hpp>

List of all members.


Detailed Description

template<class USG, class I>
class QuantLib::ICGaussianRsg< USG, I >

Inverse cumulative Gaussian random sequence generator.

It uses a sequence of 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 sequence is supplied by USG.

Class USG must implement the following interface:

USG::sample_type USG::next() const; Size USG::dimension() 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< Arraysample_type

Public Member Functions

 ICGaussianRsg (const USG &uniformSequenceGenerator)
const sample_typenextSequence () const
 returns next sample from the Gaussian distribution

const sample_typelastSequence () const
Size dimension () const


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