CLGaussianRng Class Template Reference

#include <ql/RandomNumbers/centrallimitgaussianrng.hpp>

List of all members.


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< Realsample_type
typedef RNG urng_type

Public Member Functions

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


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