Posted by
Luigi Ballabio on
Sep 16, 2010; 9:27am
URL: http://quantlib.414.s1.nabble.com/Random-Numbers-tp591p592.html
On Thu, 2010-09-16 at 13:19 +0530, animesh saxena wrote:
> What is the method used for Random number generation in QuantLib for
> Monte Carlo Simulations (for instance Heston Model)?
> Is it Mersene Twister or something else?
It depends on the traits you choose when you instantiate the engine.
For the PseudoRandom traits, it's Mersenne Twister. For LowDiscrepancy,
it's Sobol. If you want something else, you can make a new traits class
and use that one; look at <ql/math/randomnumbers/rngtraits.hpp> and
<ql/methods/montecarlo/mctraits.hpp> for examples and details.
Luigi
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