The RcppZiggurat package updates the code for the Ziggurat generator which provides very fast draws from a Normal distribution. The package provides a simple C++ wrapper class for the generator improving on the very basic macros, and permits comparison among several existing Ziggurat implementations. This can be seen in the figure where Ziggurat from this package dominates accessing the implementations from the GSL, QuantLib and Gretl—all of which are still way faster than the default Normal generator in R (which is of course of higher code complexity).
NEWS file entry below lists all changes.
Changes in version 0.1.4 (2017-07-27)
The vignette now uses the pinp package in two-column mode.
Dynamic symbol registration is now enabled.