Re: Matching results between HW tree and simulation models

Posted by Gouthaman Balaraman on May 06, 2015; 3:12pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16536.html

Rakesh

The trees can have better convergence than Monte-Carlo especially if the random number generation is not well distributed. But you shouldn't have to generate thousands of paths to get a decent convergence.

I wonder if you can change your GaussianRandomSequenceGenerator template argument in the PathGenerator and see if that makes a difference?

Goutham