Re: [Quantlib-users] RandomSequenceGenerator first element always equals startingPrice

[U.Mutlu <um...@mu...>]

Hmm, are you sure Luigi? B/c it does not work.
I have such a code and using timeSteps = 1.
How do you mean one can get out 2 values from this path?
Is it possible at all? It seems not possible.

  ...
  PathGenerator<RandomSequenceGenerator<MersenneBoxMuller>> 
gbmPathGenerator(gbm, t, timeSteps, gsg, false);
  const Path& samplePath = gbmPathGenerator.next().value;

  for (size_t j = 0; j < timeSteps; ++j)
    {
      const auto Sx = samplePath.at(j);
      ...


Luigi B. <lui...@gm...> on 2023-09-05 12:47:38 wrote:
 >
 >    the first point of the path corresponds to t=0, therefore it contains
 > the starting price.  Passing timeSteps = 1 to the generator should give you
 > sample paths with 2 points, that is, the starting point and the one after
 > the time step.
 >
 >
 > > On Mon, Sep 4, 2023 at 10:54 PM U.Mutlu <um...@mu...> wrote:
 > >
 > > I've the following, possibly very old, code for generating GBM values.
 > > It practically requires that nIntervalls_in_t (ie. timeSteps)
 > > must be >= 2 b/c the first generated value always equals the passed
 > > startingPrice.
 > > Is this behavior hardcoded in QuantLib or can this be overridden
 > > via a setting or function call, so that it shall not return always
 > > the startingPrice as the first value