normal generator refractored

src/normal.ts

@@ -1,7 +1,32 @@
-class normal {
-  boxMuller = () =>
-    Math.sqrt(-2 * Math.log(1 - Math.random())) *
-    Math.cos(2 * Math.PI * Math.random());
-}
+type NormalMethods = 'BOX_MULLER';
+
+/**
+ *
+ * @param {number} m
+ * @param {number} sigma
+ * @param {NormalMethods} method
+ * @returns {number}
+ *
+ * @description
+ * This function returns a sample from normal distribution.
+ * Default is generated a N(0, 1) sample based on Box-Müller tranformation.
+ */
+
+const normal = (
+  m: number = 0,
+  sigma: number = 1,
+  method: NormalMethods = 'BOX_MULLER',
+): number => {
+  let sample: number = 0;
+
+  if (method === 'BOX_MULLER') {
+    const u = Math.random();
+    const v = Math.random();
+
+    sample = Math.sqrt(-2 * Math.log(u)) * Math.cos(2 * Math.PI * v);
+  }
+
+  return sample * sigma + m;
+};
 
 export default normal;

src/wiener.ts

@@ -1,8 +1,6 @@
 import normal from './normal';
 import ou from './ou';
 
-const norm = new normal();
-
 /**
  *
  * @param {number} n
@@ -18,7 +16,7 @@ const wiener = (
   let W: number[] = new Array(n).fill(0);
 
   for (let index = 0; index < n - 1; index++) {
-    dW[index] = Math.sqrt(dt) * norm.boxMuller();
+    dW[index] = Math.sqrt(dt) * normal();
     W[index + 1] = W[index] + dW[index];
   }