Re: [Quantlib-users] QuantLib's GBM found flawed. What say the experts?

[Ioannis R. <qua...@de...>]

If you search within the QuantLib code for BoxMullerGaussianRng, you 
will see it is used only in the experimental folder. It is therefore not 
surprising if it doesn't produce the expected results.

I use myself the MultiPathGenerator with PseudoRandom::rsg_type, which 
is used extensively in other areas of QuantLib.

This type expands to InverseCumulativeRsg< RandomSequenceGenerator< 
MersenneTwisterUniformRng > , InverseCumulativeNormal > and gives me 
good results.

Ioannis Rigopoulos, founder of deriscope.com

On 9/9/2023 11:25 AM, U.Mutlu wrote:
> 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?
>
>
>
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