Re: Matching results between HW tree and simulation models

Posted by svangipu on May 23, 2017; 2:29am
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p18293.html

thank you for the insightful discussion.
I agree on the point of using a potentially different numeraire in vendor/other libraries :)
Also on being careful about using a simple test case for comparision purposes.
This is most likely the difference in this example imo.

A natural extension in an open-source type of conversation is how would one go about writing a more meaningful test case for proper comparision purposes.    I am not that handy with the quantlib design/implementation yet.  Can you kindly post some comments on implementation changes for making a proper example ie by choosing an appropriate numeraire for better results in MC?

Thank you