QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
InverseCumulativeRng< RNG, IC > Class Template Reference

Inverse cumulative random number generator. More...

#include <ql/math/randomnumbers/inversecumulativerng.hpp>

Public Types

typedef Sample< Realsample_type
 
typedef RNG urng_type
 

Public Member Functions

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

Detailed Description

template<class RNG, class IC>
class QuantLib::InverseCumulativeRng< RNG, IC >

Inverse cumulative random number generator.

It uses a uniform deviate in (0, 1) as the source of cumulative distribution values. Then an inverse cumulative distribution is used to calculate the distribution deviate.

The uniform deviate is supplied by RNG.

Class RNG must implement the following interface:

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

The inverse cumulative distribution is supplied by IC.

Class IC must implement the following interface:

IC::IC();
Real IC::operator() const;