Re: Default Normal Random Number generator in MCEuropeanEngine

Posted by Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/Default-Normal-Random-Number-generator-in-MCEuropeanEngine-tp16667p16668.html

Hi Raphael,

by default it is InverseCumulativeNormal.

best regards
Peter

On 16 June 2015 at 12:06, Raphael Young <[hidden email]> wrote:

> 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
>
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