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From: Marco M. <Mar...@ri...> - 2000-12-15 12:38:52
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Howdy, Pards, in the on-going effort to have--as soon as possible--a Montecarlo engine, I have just submitted a simple random number generator (RNG), namely QuantLib::Math::RandomGenerator, which is going to be followed by others. Actually, everyone is welcome to give his, more-or-less sophisticated, RNG with the same interface as the one given. Furthermore, two template classes, QuantLib::Math::BoxMuller and QuantLib::Math::CLGaussian, are added to transform a uniform deviate into a Gaussian. As the policy goes, a python interface and a simple test program (written, of course, in python), have been provided. best of my regards, MarMar |