Posted by
Fabien Le Floc'h-3 on
URL: http://quantlib.414.s1.nabble.com/Correlation-Matrix-tp36p39.html
Sorry for the annoyance, it's a mistake in my test, QL code is correct.
Le 01/02/2011 18:37, Fabien Le Floc'h a écrit :
> Hello,
>
> I believe there might be a small mistake in Quantlib 1.01 sobolrsg.cpp
> SobolRsg::skipTo method. The method starts with:
> void SobolRsg::skipTo(unsigned long skip) {
> unsigned long N = skip+1;
> unsigned int ops = (unsigned int)(std::log((double)N)/M_LN2)+1;
>
> It should be:
> void SobolRsg::skipTo(unsigned long skip) {
> unsigned long N = skip<<1;
> unsigned int ops = (unsigned int)(std::log((double)N)/M_LN2)+1;
>
> Regards,
>
> Fabien Le Floc'h.
>
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