For a while now I’ve been planning to write a blog post about pricing financial instruments using Monte Carlo techniques in F#. As part of this I needed to generate normally distributed random numbers, and while putting together the code to do it I realised it was interesting enough to warrant its own post.
I’m making use of a few F#/.NET idioms to make the process easier. For instance, sequences (.NET’s IEnumerable
) are used as the source of uniformly distributed random numbers. Also, to verify that the resulting numbers are actually normally distributed, we can easily use existing WPF/silverlight controls to visualise the values direct from within Visual Studio, in a manner similar to this previous post – but without having to write the plotting code ourselves.
Continue reading Generating and plotting random numbers