QuantLib: CLGaussianRng< RNG > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Types | Public Member Functions | List of all members
CLGaussianRng< RNG > Class Template Reference

Gaussian random number generator. More...

`#include <ql/math/randomnumbers/centrallimitgaussianrng.hpp>`

## Public Types
typedef Sample< Real > | sample_type
typedef RNG | urng_type

## Public Member Functions
| CLGaussianRng (const RNG &uniformGenerator)
sample_type | next () const
| returns a sample from a Gaussian distribution

## 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;