Re: [Quantlib-dev] Random Numbers
Posted by
animesh on
Sep 16, 2010; 9:57am
URL: http://quantlib.414.s1.nabble.com/Random-Numbers-tp591p594.html
Also FYI convergence diagram for my code (3 Asset basket option) with
Stochastic Vol (less than 30 seconds to price)
http://quantanalysis.files.wordpress.com/2010/09/091510_2334_montecarlob101.jpgOn 9/16/10 3:25 PM, animesh saxena wrote:
> Hi Luigi,
> Thanks for your mail. I think I might have tried Mersenne
> twister (from sample code), coz the sequence gave my code convergence
> issues. I initially went with my own implementation of Halton sequence
> to improve the convergence, but well Sobol is much much better :)
>
> I had used Cholesky decomposition for generating correlated random
> numbers. Using some of the code from QuantLib I am able to generate an
> N dimension array. If I have this huge array I can use it for pricing
> almost any exotic (by repeating the simulations). All that changes is
> the payoff function. For instance Heston model combined with Path
> generation can be used for pricing almost any exotic structure (well
> majority of them). I still am trying to think of how to make the
> payoff specification generic.
>
> So is it possible to have a generic pricer in QuantLib which will
> allow the user to specify a PayOff function using the multi path
> generated above? I think it can be pretty useful. Coz currently as you
> mentioned we have Engines tightly coupled with Exotic Options and
> Processes.
>
> Let me know your views on that.
>
> Thanks,
>
> Animesh
> On 9/16/10 2:57 PM, Luigi Ballabio wrote:
>> 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
>>
>>
>
--
Regards,
Animesh Saxena
(
http://quantanalysis.wordpress.com)
Ph: (+91)9920098221
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