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I am rewriting an application in C/C++/C# that was written in Excel/VBA using Oracle's Crystal Ball to generate random numbers for various probability distributions, run Monte carlo simulations and then output the results which includes Sensitivity Analysis. I have found various libraries to generate the input data for the Monte Carlo simulations, I can then write code to run all the trials. Does anyone know of a good bit of code to do sensitivity Analysis? Infact does anyone know of some which does the whole lot as at the moment it seems like I'm going to be piecing together a lot of code from different libraries as I can't find a lib that has random number generators for all the probability distributions (poisson, binomial, gaussian, max extreme, log normal, triangular)

Many thanks for reading this :)
Posted 28-Jan-13 6:16am
Updated 28-Jan-13 6:38am
zaphoed 1-Feb-13 14:55pm
did you have a look at boosts random library? you can find it here:
Jackie Lloyd 1-Feb-13 15:31pm
I have just had a look. I'm not familiar with Boost so no I hadn't found that - it looks to have all the probability distributions I need, thank you very much!

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