I think the issue is that it uses Mersenne to randomize which uses
time to set the seed. So most of the time it passes but once in a
while it fails. This is essentially correct behaviour but annoying.
I'm thinking the best solution is to set the seed in the Mersenne
manually.
Mark
On 15/11/2007, Luigi Ballabio <
[hidden email]> wrote:
>
> On Thu, 2007-11-15 at 10:43 +1100, Mark joshi wrote:
> > Well I just build the test-suite in VC 7 and the randomized lattice
> > rules all passed the test.
>
> Yes, they do. The error happens only once in a while. Maybe it's
> statistics---I mean, if one runs it enough times, it's bound to
> eventually exceed the given tolerance. Is this possible?
>
> Luigi
>
>
> --
>
> I'd never join any club that would have the likes of me as a member.
> -- Groucho Marx
>
>
>
--
LIbor market model training courses in London and Sydney www.markjoshi.com
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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