Mersenne-twister Brownian generator for market-model simulations
Incremental Brownian generator using a Mersenne-twister
uniform generator and inverse-cumulative Gaussian method.
note At this time, generation of the underlying uniform
sequence is eager, while its transformation into
Gaussian variates is lazy. Further optimization might
be possible by using the Mersenne twister directly
instead of a RandomSequenceGenerator; however, it is not
clear how much of a difference this would make when
compared to the inverse-cumulative Gaussian calculation.
Mersenne-twister Brownian generator for market-model simulations
Incremental Brownian generator using a Mersenne-twister uniform generator and inverse-cumulative Gaussian method.
note At this time, generation of the underlying uniform sequence is eager, while its transformation into Gaussian variates is lazy. Further optimization might be possible by using the Mersenne twister directly instead of a RandomSequenceGenerator; however, it is not clear how much of a difference this would make when compared to the inverse-cumulative Gaussian calculation.