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Re: Normal Random Generator

Posted by Kakhkhor Abdijalilov on Jun 02, 2010; 12:22am
URL: http://quantlib.414.s1.nabble.com/Normal-Random-Generator-tp8012p8020.html

I will take a look. Please post your code here.

Looks like Ziggurat method can generate many distributions precisely
and very quickly, provided a good RNG is available.

On Tue, Jun 1, 2010 at 4:59 PM, Seb Venus <[hidden email]> wrote:

> 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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