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

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

(Resending b/c it seems postings with attachments (zip) get silently discarded)


The bugfixed version (v1.1) can be found here:
https://www.elitetrader.com/et/threads/simulating-stock-prices-using-gbm.375533/page-4#post-5861666

     History:
       2023-09-09-Sa: v1.1 Fixed a bug in accessing the generated path data: now
skipping 0th element and still taking timeSteps elements

     Expected for 1SD:
       timeSteps   HitRate
          1         68.27%    cf. [3]
          2         76.27%    cf. [4]
          3         79.29%
          4         80.79%
          5         81.66%
         10         83.33%
        100         84.77%
       1000         84.92%

     Results of QuantLib testing:
       timeSteps   HitRate
          1         68.46%
          2         75.59%
          3         78.42%
          4         79.93%
          5         80.94%
         10         82.85%
        100         84.33%
       1000         85.55%

These new test results, after fixing the test program in v1.1, show that
QuantLib's GBM using the BoxMullerGaussianRng<MersenneTwisterUniformRng> is OK.
It seems that Ito's lemma does not get used, b/c otherwise the result would
differ much.



U.Mutlu wrote in other thread on 09/10/23 02:39:
   > 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.