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;
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Public Types |
typedef Sample< Array > | sample_type |
Public Member Functions |
| ICGaussianRsg (const USG &uniformSequenceGenerator) |
const sample_type & | nextSequence () const |
| returns next sample from the Gaussian distribution
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const sample_type & | lastSequence () const |
Size | dimension () const |
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