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QuantLib_KnuthUniformRng

NAME

QuantLib::KnuthUniformRng -

Uniform random number generator.

SYNOPSIS

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

Public Types

typedef Sample< Real > sample_type

Public Member Functions

KnuthUniformRng (long seed=0)

sample_type next () const

Detailed Description

Uniform random number generator.

Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6.

Note:

This is not Knuth's original implementation which is available at http://www-cs-faculty.stanford.edu/~knuth/programs.html, but rather a slightly modified version wrapped in a C++ class. Such modifications did not affect the code but only the data structures used, which were converted to their standard C++ equivalents.

Constructor & Destructor Documentation

KnuthUniformRng (long seed = 0) [explicit]if the given seed is 0, a random seed will be chosen based on clock()

Member Function Documentation

KnuthUniformRng::sample_type next () constreturns a sample with weight 1.0 containing a random number uniformly chosen from (0.0,1.0)

Author

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