[Quantlib-users] RandomSequenceGenerator first element always equals startingPrice

[U.Mutlu <um...@mu...>]

Hello,

I've the following, possibly very old, code for generating GBM values.
It practically requires that nIntervalls_in_t (ie. timeSteps)
must be >= 2 b/c the first generated value always equals the passed startingPrice.
Is this behavior hardcoded in QuantLib or can this be overridden
via a setting or function call, so that it shall not return always
the startingPrice as the first value :

2nd question is: can this code be simplified and modernized by using
C++ methods of C++11, preferably w/o any Boost dependence, for example
using std::normal_distribution instead of the Box-Muller kludge below?
Cf. also the many distribtion types and the RNGs in C++11 at 
https://en.cppreference.com/w/cpp/numeric/random

   ...

   // instantiate Geometric Brownian Motion (GBM) stochastic process
   const auto& gbm = boost::shared_ptr<StochasticProcess>(new 
GeometricBrownianMotionProcess(startingPrice, drift_mu, vola_sigma));

   // generate sequence of normally distributed random numbers from uniform 
distribution using Box-Muller transformation
   BigInteger seed = SeedGenerator::instance().get();
   typedef BoxMullerGaussianRng<MersenneTwisterUniformRng> MersenneBoxMuller;
   MersenneTwisterUniformRng mersenneRng(seed);
   MersenneBoxMuller boxMullerRng(mersenneRng);

   RandomSequenceGenerator<MersenneBoxMuller> gsg(nIntervals_in_t, boxMullerRng);

   // generate simulated path of stock price
   PathGenerator<RandomSequenceGenerator<MersenneBoxMuller>> 
gbmPathGenerator(gbm, t, nIntervals_in_t, gsg, false);
   const Path& samplePath = gbmPathGenerator.next().value;

   for (size_t i = 1; i < nIntervals_in_t; ++i)     // skipping 0th elem as 
it's startingPrice
     {
       const auto Sx = samplePath.at(i);
   ...