Tag Archive: random numbers

QuantLib: Using Boost Random Number Generators

cogitolearning January 10, 2014 Code, Manuals, QuantLib, Tutorials boost, quantlib, random numbers

In the previous post on random number generators I introduced all the random number generators (RNGs) that are available in QuantLib. In most circumstances these generators will be sufficient. However, if you take a look at the boost/random package, you…
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QuantLib: Random Number Generators

cogitolearning December 2, 2013 Programming Tips, QuantLib, Tutorials boost, c++, quantlib, random numbers, tutorial

QuantLib uses random numbers in many places, such as in Pricing Engines to calculate the NPV of an instrument, in the Brownian Generator that is used in market-model simulations and in the Monte Carlo Model for path samples. In financial…
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