Error in BasketPathPricer
Posted by
Toyin Akin-3 on
Mar 09, 2002; 9:41am
URL: http://quantlib.414.s1.nabble.com/Error-in-BasketPathPricer-tp1879.html
Hi all,
In addition, I could be wrong, but I believe that
some of the logic pertaining to the
"if
(useAntitheticVariance_)" if statement should be within
the for loop.
(The log_drift and log_diffusion are
constants in the current implementation).
Regards,
Toy.