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cricket
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Posts: 20
Joined: December 28th, 2006, 3:27 pm

Business criteria for picking a random number generator

July 9th, 2012, 3:00 pm

Good Morning:I have been asked to look at the random number generators within our mortgage pricing software & see if there is a better generator out there. I am examining it from a business perspective, and would appreciate it if people can list out the criteria for picking a random number generator. From a business angle, the metrics could be ease of implementation, cost of maintenance, robustness of the software, reliability of financial results, etc. I talked to a member of our quant group, and he mentioned that a good generator should be self-avoiding and should exhibit low discrepancy. I am thinking that these quantitative measures would translate into reliability of financial results.
 
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quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Business criteria for picking a random number generator

July 9th, 2012, 9:07 pm

why would you implement RNG? grab one, and use it. there's a ton of them.
 
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cricket
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Joined: December 28th, 2006, 3:27 pm

Business criteria for picking a random number generator

July 10th, 2012, 1:09 pm

Thanks. We already have few, for example SOBOL, but have been asked to look at others. Hence my question on a critieria for picking one. We are valuing and pricing MBS. Then, if we determine that the new ones won't offer any significant advantage, we may then continue using our existing RNG.
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Business criteria for picking a random number generator

July 10th, 2012, 1:47 pm

Shouldn't the people asking for a new RNG define the criteria?Basics are generically period, means etc. see http://www.johndcook.com/Beautiful_Testing_ch10.pdf for a generic high level overview.MT19937 is fairly standard for MC or SFMT by extension.
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Business criteria for picking a random number generator

July 10th, 2012, 3:08 pm

QuoteOriginally posted by: cricketThanks. We already have few, for example SOBOL, but have been asked to look at others. Hence my question on a critieria for picking one. We are valuing and pricing MBS. Then, if we determine that the new ones won't offer any significant advantage, we may then continue using our existing RNG.Careful with sobol, judging by your post I'm not sure you know it is a slightly different thing.As Hansi said, Mersenne Twister MT19937 is definitely the standard. There is an implementation in boost library, which is free.
 
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quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Business criteria for picking a random number generator

July 10th, 2012, 4:27 pm

QuoteOriginally posted by: DevonFangsCareful with sobol, judging by your post I'm not sure you know it is a slightly different thing.first, settle down on the broader class of RNG then: quazy vs psudo. then within psudo there's a bunch of different approaches, e.g. LCGthere's always an option to pick "true" RNGs, like from random.orgonly once you settled on the class, then you go hunt for the particular implementation.
Last edited by quantmeh on July 9th, 2012, 10:00 pm, edited 1 time in total.
 
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cricket
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Posts: 20
Joined: December 28th, 2006, 3:27 pm

Business criteria for picking a random number generator

July 11th, 2012, 4:43 pm

QuoteOriginally posted by: HansiShouldn't the people asking for a new RNG define the criteria?Basics are generically period, means etc. see http://www.johndcook.com/Beautiful_Testing_ch10.pdf for a generic high level overview.MT19937 is fairly standard for MC or SFMT by extension.Thanks for this link. Luckily Prof. Cook has put the chapter on his website:http://www.johndcook.com/Beautiful_Testing_ch10.pdf
Last edited by cricket on July 10th, 2012, 10:00 pm, edited 1 time in total.
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