Monte Carlo simulation convergence issue

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-simulation-convergence-issue-tp6191.html

Hi,

I have created different engiens based on the MC simulation framework.
I am experiencing some convergence issues. If I increase the number of steps the Max Time Step by year, the price starts to diverge. An example would be the following graph:



I have the following questions:

1. have you ever encountered such issues?
2. How to use the error estimate? Whatever the RNG I put (Low Discrenpancies, Pseudo Random...) I can nto access the error which might be usefull.

Thanks