Re: [Quantlib-dev] Random Numbers

[animesh s. <ani...@gm...>]

  Also FYI convergence diagram for my code (3 Asset basket option) with 
Stochastic Vol (less than 30 seconds to price)

http://quantanalysis.files.wordpress.com/2010/09/091510_2334_montecarlob101.jpg

On 9/16/10 3:25 PM, animesh saxena wrote:
>  Hi Luigi,
>       Thanks for your mail. I think I might have tried Mersenne 
> twister (from sample code), coz the sequence gave my code convergence 
> issues. I initially went with my own implementation of Halton sequence 
> to improve the convergence, but well Sobol is much much better :)
>
> I had used Cholesky decomposition for generating correlated random 
> numbers. Using some of the code from QuantLib I am able to generate an 
> N dimension array. If I have this huge array I can use it for pricing 
> almost any exotic (by repeating the simulations). All that changes is 
> the payoff function. For instance Heston model combined with Path 
> generation can be used for pricing almost any exotic structure (well 
> majority of them). I still am trying to think of how to make the 
> payoff specification generic.
>
> So is it possible to have a generic pricer in QuantLib which will 
> allow the user to specify a PayOff function using the multi path 
> generated above? I think it can be pretty useful. Coz currently as you 
> mentioned we have Engines tightly coupled with Exotic Options and 
> Processes.
>
> Let me know your views on that.
>
> Thanks,
>
> Animesh
> On 9/16/10 2:57 PM, Luigi Ballabio wrote:
>> On Thu, 2010-09-16 at 13:19 +0530, animesh saxena wrote:
>>> What is the method used for Random number generation in QuantLib for
>>> Monte Carlo Simulations (for instance Heston Model)?
>>> Is it Mersene Twister or something else?
>> It depends on the traits you choose when you instantiate the engine.
>> For the PseudoRandom traits, it's Mersenne Twister.  For LowDiscrepancy,
>> it's Sobol.  If you want something else, you can make a new traits class
>> and use that one; look at<ql/math/randomnumbers/rngtraits.hpp>  and
>> <ql/methods/montecarlo/mctraits.hpp>  for examples and details.
>>
>> Luigi
>>
>>
>

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221