QuantLib: BoxMullerGaussianRng< RNG > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

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

Gaussian random number generator. More...

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

## 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

## 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.