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QuantLib_InverseCumulativeRng
Langue: en
Version: 380975 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::InverseCumulativeRng -Inverse cumulative random number generator.
SYNOPSIS
#include <ql/math/randomnumbers/inversecumulativerng.hpp>
Public Types
typedef Sample< Real > sample_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;
Author
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Contenus ©2006-2024 Benjamin Poulain
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