cm.rnorm {CreditMetrics}R Documentation

Computation of standard normal distributed random numbers

Description

cm.rnorm simulates standard normal distributed random numbers while using antithetic sampling.

Usage

cm.rnorm(N, n)

Arguments

N

number of simulations

n

number of simulated random numbers

Details

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

Value

The function returns N simulations with n simulated random numbers each.

Author(s)

Andreas Wittmann andreas\_wittmann@gmx.de

References

Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer 2004

See Also

matrix, rnorm

Examples

  N <- 3
  n <- 50000
  
  cm.rnorm(N, n)

[Package CreditMetrics version 0.0-2 Index]