QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Types | Public Member Functions | List of all members
KnuthUniformRng Class Reference

Uniform random number generator. More...

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

Public Types

typedef Sample< Realsample_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

returns a sample with weight 1.0 containing a random number uniformly chosen from (0.0,1.0)