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MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
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Sobol and other number generators #7

Open MarcusRainbow opened 6 years ago

MarcusRainbow commented 6 years ago

The library currently uses rand as the source of pseudo-random numbers. This has various disadvantages, such as far slower convergence than using a Sobol sequence.

Sobol needs to be handled with care. See Monte Carlo Methods in Finance by Peter Jaeckel for details.