Re: Normal Random Generator

Posted by Seb Venus on Jun 01, 2010; 9:59pm
URL: http://quantlib.414.s1.nabble.com/Normal-Random-Generator-tp8012p8014.html

There are a lot of different generators, but an obvious candidate is the Ziggurat method, which has become a standard method in the Matlab library.
http://www.mathworks.com/company/newsletters/news_notes/clevescorner/spring01_cleve.html

It is far faster than many other pseudo generators. I have some code that I could provide if it would be useful.

> CC: [hidden email]
> From: [hidden email]
> To: [hidden email]
> Subject: Re: [Quantlib-users] Normal Random Generator
> Date: Tue, 1 Jun 2010 21:48:50 +0200
>
>
> On Jun 1, 2010, at 7:43 PM, Seb Venus wrote:
>
> > Has anyone given thought to using something other than boxmuller,
> > centrallimit or InverseCumulativeNormal?
>
> Such as?
>
> Luigi
>

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