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Re: Default Normal Random Number generator in MCEuropeanEngine

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tallent_e

Re: Default Normal Random Number generator in MCEuropeanEngine

Hi Raphael,

To complete Peter's answer, it may be helpful to read:

http://www.implementingquantlib.com/2014/05/chapter-6-part-1-of-n-random-number.html

and:

http://cogitolearning.co.uk/?p=1316

Best

Edouard

++++++++++++++++++

   1. Default Normal Random Number generator in	MCEuropeanEngine

      (Raphael Young)
   2. Re: Default Normal Random Number generator in
      MCEuropeanEngine (Peter Caspers)

Dear All,

What i want to do is to output the random number as well as the stock price on each path in each iteration by Monte Carlo European Engine in quantlib.

For now, I know that the default uniform random number generator in MCEuropeanEngine is MersenneTwisterUniformRng

And I have already output the uniform random number path as well as the stock price path successfully.

However, I have no idea about what default generator it use to transfer the uniform random number into normal random number in MCEuropeanEngine or other related Monte Carlo Engine?

Can anyone help me here?

Best,

Raphael

From: Peter Caspers <[hidden email]>
Precedence: list
MIME-Version: 1.0
Cc: QuantLib users <[hidden email]>
To: Raphael Young <[hidden email]>
References: <[hidden email]>
In-Reply-To: <[hidden email]>
Date: Tue, 16 Jun 2015 12:51:56 +0200
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=UTF-8
Subject: Re: [Quantlib-users] Default Normal Random Number generator in
	MCEuropeanEngine
Message: 2

Hi Raphael,

by default it is InverseCumulativeNormal.

best regards
Peter

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Peter Caspers-4

Re: Default Normal Random Number generator in MCEuropeanEngine

Edouard, do I sense soft criticism on my eloquence here :-) ?
Why I am writing: Who is behind cogito learning ? Nice site.
Peter

On 23 June 2015 at 20:32, <[hidden email]> wrote:

>
>
> Hi Raphael,
>
> To complete Peter's answer, it may be helpful to read:
>
> http://www.implementingquantlib.com/2014/05/chapter-6-part-1-of-n-random-number.html
>
> and:
>
> http://cogitolearning.co.uk/?p=1316
>
> Best
>
> Edouard
>
>
>
> ++++++++++++++++++
>
> 1. Default Normal Random Number generator in MCEuropeanEngine
>
> (Raphael Young)
> 2. Re: Default Normal Random Number generator in
> MCEuropeanEngine (Peter Caspers)
>
> Dear All,
>
> What i want to do is to output the random number as well as the stock price
> on each path in each iteration by Monte Carlo European Engine in quantlib.
>
> For now, I know that the default uniform random number generator in
> MCEuropeanEngine is MersenneTwisterUniformRng
> And I have already output the uniform random number path as well as the
> stock price path successfully.
>
> However, I have no idea about what default generator it use to transfer the
> uniform random number into normal random number in MCEuropeanEngine or other
> related Monte Carlo Engine?
>
> Can anyone help me here?
>
>
> Best,
> Raphael
>
>
>
> From: Peter Caspers <[hidden email]>
> Precedence: list
> MIME-Version: 1.0
> Cc: QuantLib users <[hidden email]>
> To: Raphael Young <[hidden email]>
> References:
> <CAHDPghD-MoRqw12rWUqdfw6=[hidden email]>
> In-Reply-To:
> <CAHDPghD-MoRqw12rWUqdfw6=[hidden email]>
> Date: Tue, 16 Jun 2015 12:51:56 +0200
> Message-ID:
> <[hidden email]>
> Content-Type: text/plain; charset=UTF-8
> Subject: Re: [Quantlib-users] Default Normal Random Number generator in
> MCEuropeanEngine
> Message: 2
>
> Hi Raphael,
>
> by default it is InverseCumulativeNormal.
>
> best regards
> Peter
>
>
>
>
> ------------------------------------------------------------------------------
> Monitor 25 network devices or servers for free with OpManager!
> OpManager is web-based network management software that monitors
> network devices and physical & virtual servers, alerts via email & sms
> for fault. Monitor 25 devices for free with no restriction. Download now
> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

tallent_e

Re: Default Normal Random Number generator in MCEuropeanEngine

Hi Peter. Humm ... well I don't know to be honest.

It is not myself, anyway. I mean I would charge much more ... :)

El 2015-06-24 12:04, Peter Caspers escribió:

Edouard, do I sense soft criticism on my eloquence here :-) ?
Why I am writing: Who is behind cogito learning ? Nice site.
Peter

On 23 June 2015 at 20:32,  <[hidden email]> wrote:
Hi Raphael, To complete Peter's answer, it may be helpful to read: http://www.implementingquantlib.com/2014/05/chapter-6-part-1-of-n-random-number.html and: http://cogitolearning.co.uk/?p=1316 Best Edouard ++++++++++++++++++ 1. Default Normal Random Number generator in MCEuropeanEngine (Raphael Young) 2. Re: Default Normal Random Number generator in MCEuropeanEngine (Peter Caspers) Dear All, What i want to do is to output the random number as well as the stock price on each path in each iteration by Monte Carlo European Engine in quantlib. For now, I know that the default uniform random number generator in MCEuropeanEngine is MersenneTwisterUniformRng And I have already output the uniform random number path as well as the stock price path successfully. However, I have no idea about what default generator it use to transfer the uniform random number into normal random number in MCEuropeanEngine or other related Monte Carlo Engine? Can anyone help me here? Best, Raphael From: Peter Caspers <[hidden email]> Precedence: list MIME-Version: 1.0 Cc: QuantLib users <[hidden email]> To: Raphael Young <[hidden email]> References: <[hidden email]> In-Reply-To: <[hidden email]> Date: Tue, 16 Jun 2015 12:51:56 +0200 Message-ID: <[hidden email]> Content-Type: text/plain; charset=UTF-8 Subject: Re: [Quantlib-users] Default Normal Random Number generator in MCEuropeanEngine Message: 2 Hi Raphael, by default it is InverseCumulativeNormal. best regards Peter ------------------------------------------------------------------------------ Monitor 25 network devices or servers for free with OpManager! OpManager is web-based network management software that monitors network devices and physical & virtual servers, alerts via email & sms for fault. Monitor 25 devices for free with no restriction. Download now http://ad.doubleclick.net/ddm/clk/292181274;119417398;o _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users