Re: Bug in MCAmericanBasketEngine class

Posted by Luigi Ballabio on Oct 10, 2005; 2:30am
URL: http://quantlib.414.s1.nabble.com/Bug-in-MCAmericanBasketEngine-class-tp4110p4113.html

On 10/09/2005 08:28:43 PM, Joseph Wang wrote:
> That would also work....  Do you want to add it or should I.

Please go ahead.

> Also, I've been reading up on Monte Carlo.  Chapter 10 of Peter  
> Jackel's book Monte Carlo Methods in Finance says that antithetic  
> sampling should not be used with low-discrepency series (especially  
> Sobol numbers) as it will case interaction effects given that the  
> quasi-random numbers are also almost antihetic.
> Does this have any impact on the code?

Probably. The antithetic sampling shouldn't be performed no matter  
what---there should be a flag passed to the engine specifying whether  
or not it should be enabled.

Later,
        Luigi

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Steinbach's Guideline for Systems Programming:
        Never test for an error condition you don't know how to handle.