Re: Normal Random Generator
Posted by
Chris Kenyon-2 on
Jun 03, 2010; 7:35am
URL: http://quantlib.414.s1.nabble.com/Normal-Random-Generator-tp8012p8022.html
Ziggurat is elegant, but remember that it is a rejection sampling method, so if you need to keep track of the random numbers (or the # of them) that you are using (e.g. for variance reduction) then you may want the other methods for simplicity.
Rgds / Chris
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