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Re: quasi random no's.

Posted by Peter Schmitteckert-2 on Mar 18, 2002; 1:34am
URL: http://quantlib.414.s1.nabble.com/quasi-random-no-s-tp1917p1919.html



Salut,

On Friday 15 March 2002 18:23, Info wrote:

> "I've a question re: the random no. generators used in
> quant lib.. for the monte carlo pricer don't you need
> to use some low discrepancy (sobol) sequences,
> otherwise anything with dimensions >1 is likely to be
> inaccurately priced ?? numerical recipies has an
> algorithm, but its limited to 6 dimensions. Anyone
> know a good algorithm for going beyond this?"
>
> Yes, there is such algorithm. Please, check
> http://www.broda.co.uk/software.htm
>



in case you're satisfied with 40 dimensions, take a look as my
homepage:
http://www.schmitteckert.com/LinuxMagazin/Sobol/

there is a Sobol.tar.gz wich include sources for up to 40 dimensional Sobol
sequences. For those who understand german, there is a small article
in a last year "Linux Magazin" by myself.

If you want to include this to Quantlib I would change the license to
whatever fits to QuantLib.

Best wishes,
Peter

P.S.
I had problems posting to Quantlib-users complainig that
schmitteckert.org has no postmaster, but I was posting from schmitteckert.com
which indeed has a postmaster account.