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From: U.Mutlu <um...@mu...> - 2023-09-09 09:25:31
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A short standalone test code in C++ with test results posted online at https://www.elitetrader.com/et/threads/simulating-stock-prices-using-gbm.375533/page-4#post-5861368 demonstrates that the GBM method in QuantLib is fatally buggy and has been so since start. Can the experts please check it and comment it. It's suspicious that such a flaw in a very important part of the library (GBM and Monte Carlo) got undetected by the experts and the user community for more that 20+ years. Can the experts verify / confirm / duplicate the findings made there? Or is maybe that test code itself buggy or the test method maybe unscientific? |