Re: Matching results between HW tree and simulation models

Posted by Peter Caspers-4 on May 06, 2015; 3:41pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16537.html

trees (if carefully implemented) should give a perfect match for zero
bonds in any case, so there is no such thing as convergence for them ?
Peter

On 6 May 2015 at 17:12, gouthambs <[hidden email]> wrote:

> 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
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16536.html
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>
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