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

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

Finally found the bug:

The loop below must be so:
   for (size_t j = 1; j <= timeSteps; ++j)

This of course invalidates the old test results.
Will see how good the results are now, but it looks much better now.


U.Mutlu wrote on 09/10/23 02:24:
> 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
>
>
>
>
>
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