Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Question-about-Random-Sequence-tp9797p9798.html
On Thu, 2007-09-20 at 05:36 -0500, Young Cho wrote:
> What I'm trying to do is switching a random sequence.
> =======================================================
> mcengine1 =
> MakeMCEuropeanEngine<PseudoRandom>().withSteps(timeSteps)
> .withSamples(1000).withSeed(mcSeed);
> =======================================================
> What this is using is PseudoRandom which is an Uniform Random
> sequence.
> I would like to use Normal Random Sequence using the Box-Muller method
> already implemented in ql.
Young,
the MC engine is already using a Normal random sequence. The
PseudoRandom class specifies both the basic uniform generator and the
method to use for turning it into a normal generator (which by default
is the inverse-cumulative method---it is faster than Box-Muller and at
least as accurate.)
Luigi
--
Better to remain silent and be thought a fool than to speak out and
remove all doubt.
-- Abraham Lincoln
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