cm.rnorm {CreditMetrics} | R Documentation |
cm.rnorm
simulates standard normal distributed random numbers while using
antithetic sampling.
cm.rnorm(N, n)
N |
number of simulations |
n |
number of simulated random numbers |
This function computes standard normal distributed random numbers with antithetic sampling. Here one has a sequence of standard normal distributed random numbers (X_1,...,X_{n/2}). Reflected random numbers are computed with
X_i' = (-1) X_i
So the sequence X_1',...,X_{n/2}' is also standard normal distributed
The function returns N
simulations with n
simulated random numbers
each.
Andreas Wittmann andreas_wittmann@gmx.de
Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer 2004
N <- 3 n <- 50000 cm.rnorm(N, n)