Class object inside or outside a parallel_for / parallel_for_each?

I have been studying about parallel loops (C++11) and testing them with MS visual studio 2013. I am clear about them (lambdas esp.) which are pretty cool.

But my concern is that I have to call a function that performs a simple euclidean distance measure. Function by itself is clear, but I have to move the function to a class called EuclideanDistance and do the euclidean math inside the function Match(vectorA,vectorB) on two vectors which simply is some norm(...) calculation.

Now how do I go about this inside a parallel_for/parallel_foreach loop? Do I create the class object inside the loop or keeping the class object outside the loop will cause inconsistencies? If I understood correctly about parallel loops the function over which it works is basically a clean copy for every thread launched. Does this happen in the case of class functions? My hunch is no! Unless I create an object inside the class as shown in the second code snippet.

e.g. For the sake of readability, I keep the code abbreviated.

vectorA; // Floating point array of 1024 entries.
concurrent_queue vectorQ; // each entry in the queue is a 1024 array
EuclideanDistance euclid;
parallel_for_each(begin,end,[&](auto item)
{
    euclid.Match(vectorA,item);
});

Or this will be the right way of doing it?

parallel_for_each(begin,end,[&](auto item)
{
EuclideanDistance euclid;
    euclid.Match(vectorA,item);
});

Any pitfalls would be highly appreciated!