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;
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Public Types |
typedef Sample< Real > | sample_type |
typedef RNG | urng_type |
Public Member Functions |
| ICGaussianRng (const RNG &uniformGenerator) |
sample_type | next () const |
| returns a sample from a Gaussian distribution
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