RandomUtils

crn(rng: np.random.Generator)

Context manager for Common Random Numbers (CRN).

Saves and restores the state of a NumPy random number generator. This ensures that code blocks within the same with crn(rng): sequence will reuse the same random numbers, which is crucial for variance reduction when calculating Greeks via finite differences in Monte Carlo methods.

Parameters:

Name	Type	Description	Default
rng	Generator	The random number generator instance whose state will be managed.	required

Source code in src/quantfin/techniques/base/random_utils.py

@contextmanager
def crn(rng: np.random.Generator):
    """
    Context manager for Common Random Numbers (CRN).

    Saves and restores the state of a NumPy random number generator. This ensures
    that code blocks within the same `with crn(rng):` sequence will reuse the
    same random numbers, which is crucial for variance reduction when calculating
    Greeks via finite differences in Monte Carlo methods.

    Parameters
    ----------
    rng : np.random.Generator
        The random number generator instance whose state will be managed.
    """
    state = rng.bit_generator.state
    try:
        yield
    finally:
        rng.bit_generator.state = state