Re: Question on PathGenerator

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/Question-on-PathGenerator-tp3287p3299.html

On 2004.09.02 13:19, Neil P Firth wrote:
> Storing the drift and diffusion values separately makes it easy to do  
> antithetic variates

Hmm, not really.  If drift and diffusion are dependent on the value of  
the asset, it doesn't hold that the antithetic of (drift+diffusion) is  
(drift-diffusion)---or rather, it just holds for the first step. At the  
second step, the same random number will give different diffusion  
values as the asset value will be different for the path and its  
antithetic.

Later,
        Luigi