The Faure and Sobol quasi-random number generators use the Box-Muller transformation to transform the uniform draws to normal draws.  A probit transform is a better transformation for this purpose.

The L'Ecuyer and Twister antithetic pseudorandom number generators flip the uniform draws instead of the normal draws (that is, the uniform draw is subtracted from 1).  Instead, they should take the negative of the normal draws.

There are no errors or warnings.

To obtain a fix for this issue, contact SAS Technical Support.

This issue has been fixed in SAS^® Risk Dimensions^® 6.7. In the fixed release, the software has been changed and enhanced as a probit transform is a better transformation for the Faure and Sobol quasi-random number generators, and for the antithetic distribution, better convergence is obtained when the reflection is applied after the Box-Muller transformation.

Operating System and Release Information

A fix for this issue for SAS High-Performance Risk 3.6 is available at:

A fix for this issue for SAS Risk Dimensions Server Component 6.6 is available at: