

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it under the
 terms of the QuantLib license.  You should have received a copy of the
 license along with this program; if not, please email ferdinando@ametrano.net
 The license is also available online at http://quantlib.org/html/license.html

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
/*! \file inversecumgaussianrng.hpp
    \brief Inverse cumulative Gaussian random-number generator

    \fullpath
    ql/RandomNumbers/%inversecumgaussianrng.hpp
*/

// $Id: inversecumgaussianrng.hpp,v 1.3.8.1 2002/12/31 18:40:43 nando Exp $

#ifndef quantlib_inversecumulative_gaussian_rng_h
#define quantlib_inversecumulative_gaussian_rng_h

#include <ql/Math/normaldistribution.hpp>
#include <ql/MonteCarlo/sample.hpp>

namespace QuantLib {

    namespace RandomNumbers {

        //! Inverse cumulative Gaussian random number generator
        /*! It uses a uniform deviate in (0, 1) as the source of cumulative
            normal distribution values.
            Then an inverse cumulative normal distribution is used as it is
            approximately a Gaussian deviate with average 0.0 and standard
            deviation 1.0.

            The uniform deviate is supplied by U.

            Class U must implement the following interface:
            \code
                U::U(long seed);
                U::sample_type U::next() const;
            \endcode

            The inverse cumulative normal distribution is supplied by I.

            Class I must implement the following interface:
            \code
                I::I();
                double I::operator() const;
            \endcode
        */
        template <class U, class I>
        class ICGaussianRng {
          public:
            typedef MonteCarlo::Sample<double> sample_type;
            explicit ICGaussianRng(long seed=0);
            //! returns next sample from the Gaussian distribution
            sample_type next() const;
          private:
            U basicGenerator_;
            I ICND_;
        };

        template <class U, class I>
        ICGaussianRng<U, I>::ICGaussianRng(long seed)
        : basicGenerator_(seed) {}

        template <class U, class I>
        inline typename ICGaussianRng<U, I>::sample_type 
        ICGaussianRng<U, I>::next() const {
            typename U::sample_type sample = basicGenerator_.next();
            return sample_type(ICND_(sample.value),sample.weight);
        }

    }

}

#endif
