Hi,
Is there anyone has written the code of a (gaussian) copula?
If Yes, can he share the code to me?
If Not, is there any class which can return me a sequence of
“N” independent Gaussian random variables ( I remember that
QuantLib does have this class…)…
On the numerical side, what is the best random generator for
this task if N is of 10^2 order, and the number of scenario should be 10^4.
My thanks.
Xs
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