Re: RandomNumberGenerator

Posted by John Kiff on Jun 08, 2004; 5:03am
URL: http://quantlib.414.s1.nabble.com/RandomNumberGenerator-tp2978p2985.html

Luigi, thanks very much. This will definitely get me off the ground. I see the merits in going to
the "source" but I live in a galaxy of spreadsheets. John

--- Luigi Ballabio <[hidden email]> wrote:

> I'm not familiar with QuantLibXL at all, but as Obi-Wan used to  
> say, "use the source, Luke." It appears that in true spreadsheet  
> tradition, RandomNumberGenerator and its Gaussian counterpart were  
> meant to be jacks of all trades. They can use either a pseudo-random  
> (RNGType = 1) or a low-discrepancy (RNGType = 2) generator. The  
> "dimension" parameter is used to return either a single number or a  
> random vector of a given dimension (because for low-discrepancy  
> generators, it does matter whether you want a single multi-dimensional  
> sample in R^N or N consecutive samples in R.) Finally, the function  
> kindly offers to return M samples in one single call--be they numbers  
> or vectors. To summarize, if you want a single number at every call,  
> you can put dimension = samples = 1.
>
> I'll purposely refrain from commenting on the idea of "generality"  
> meant as "cram as much parameters as you can" :)

       
               
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