Folks,

Can you point me to any examples of using the GSL library to generate correlated uniform random variables?

I want to generate correlated defaults among portfolios of loans.

Currently I generate simulations by using rmvsnorm (and then inverting using the standard normal distribution function). Is there any advantage to using the GSL functionality to generate the simulations?

Any examples of using Sobol sequences for this type of application. 

Please feel free to point me to another site or resource if appropriate.

Thanks,
KW

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