Posted by
tallent_e on
URL: http://quantlib.414.s1.nabble.com/Re-Default-Normal-Random-Number-generator-in-MCEuropeanEngine-tp16676.html
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]>
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Cc: QuantLib users <[hidden email]>
To: Raphael Young <[hidden email]>
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Date: Tue, 16 Jun 2015 12:51:56 +0200
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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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