Re: [Quantlib-users] Importance Sampling

[<Qu...@my...>]

> introduce importance sampling a posteriori. Instead, we should sample from 
> a distribution F(x) = G(x)H(x), where H(x) expresses the bias, and give 
> each sample x_i a weight 1/H(x_i).

One way of looking at it is as a tilted distribution, with the mean
shifted,and 
  F(x) = G(x) * H(x)   where H(x) = rand(0,1)/rand(t,1)

where t is some constant by which you are shifting the mean.

Kris