problem on the Black Scholes Process in the QuantLibXL

[Adjriou Belak]

Hi,

 

WHen I use the QLPath spreadsheet, you can notice that :

 

E(S) = S*exp((r-q)*t) should  be equal to the averages of the last values, but

the last values are too low .. it seems that the drift is negative for the function qlPathGenerator. ?

regards,

see the attachement.

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[Ferdinando M. Ametrano-3]

I will take a look at it this week-end (hopefully)...


thank you

ciao -- Nando

At 07:12 PM 1/12/2005, Adjriou Belak wrote:
>WHen I use the QLPath spreadsheet, you can notice that :
>
>E(S) = S*exp((r-q)*t) should  be equal to the averages of the last values, but
>the last values are too low .. it seems that the drift is negative for the
>function qlPathGenerator. ?