OK I am not so sure that Kuo's numbers should agree up to dim 40 with
Sobol Levitan.
But even when I use the same polynomials and init numbers with her
code and ours, I get disagreement in the fourth dimension. I haven't
managed to figure out what's going on.
Mark
--
LIbor market model training courses in London and Sydney www.markjoshi.com
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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