BoxMullerGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

#include <boxmullergaussianrng.hpp>

Collaboration diagram for BoxMullerGaussianRng< RNG >:

Public Types
typedef Sample< Real >	sample_type
typedef RNG	urng_type

Public Member Functions
	BoxMullerGaussianRng (const RNG &uniformGenerator)
sample_type	next () const
	returns a sample from a Gaussian distribution More...

Private Attributes
RNG	uniformGenerator_
bool	returnFirst_ = true
Real	firstValue_
Real	secondValue_
Real	firstWeight_
Real	secondWeight_
Real	weight_ = 0.0

Detailed Description

template<class RNG>
class QuantLib::BoxMullerGaussianRng< RNG >

Gaussian random number generator.

It uses the well-known Box-Muller transformation to return a normal distributed Gaussian deviate with average 0.0 and standard deviation of 1.0, from a uniform deviate in (0,1) supplied by RNG.

Class RNG must implement the following interface:

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

Examples

BasketLosses.cpp.

Definition at line 44 of file boxmullergaussianrng.hpp.

Member Typedef Documentation

sample_type

typedef Sample<Real> sample_type

Definition at line 46 of file boxmullergaussianrng.hpp.

urng_type

typedef RNG urng_type

Definition at line 47 of file boxmullergaussianrng.hpp.

Constructor & Destructor Documentation

BoxMullerGaussianRng()

BoxMullerGaussianRng ( const RNG &  uniformGenerator )

explicit

Definition at line 60 of file boxmullergaussianrng.hpp.

Member Function Documentation

next()

BoxMullerGaussianRng< RNG >::sample_type next

returns a sample from a Gaussian distribution

Definition at line 65 of file boxmullergaussianrng.hpp.

Member Data Documentation

uniformGenerator_

RNG uniformGenerator_

private

Definition at line 52 of file boxmullergaussianrng.hpp.

returnFirst_

bool returnFirst_ = true

mutableprivate

Definition at line 53 of file boxmullergaussianrng.hpp.

firstValue_

Real firstValue_

mutableprivate

Definition at line 54 of file boxmullergaussianrng.hpp.

secondValue_

Real secondValue_

private

Definition at line 54 of file boxmullergaussianrng.hpp.

firstWeight_

Real firstWeight_

mutableprivate

Definition at line 55 of file boxmullergaussianrng.hpp.

secondWeight_

Real secondWeight_

private

Definition at line 55 of file boxmullergaussianrng.hpp.

weight_

Real weight_ = 0.0

mutableprivate

Definition at line 56 of file boxmullergaussianrng.hpp.