[Quantlib-dev] Re: [Quantlib-users] Bug in MCAmericanBasketEngine class

[Luigi B. <lui...@gm...>]

On 10/09/2005 08:28:43 PM, Joseph Wang wrote:
> That would also work....  Do you want to add it or should I.

Please go ahead.

> Also, I've been reading up on Monte Carlo.  Chapter 10 of Peter =20
> Jackel's book Monte Carlo Methods in Finance says that antithetic =20
> sampling should not be used with low-discrepency series (especially =20
> Sobol numbers) as it will case interaction effects given that the =20
> quasi-random numbers are also almost antihetic.
> Does this have any impact on the code?

Probably. The antithetic sampling shouldn't be performed no matter =20
what---there should be a flag passed to the engine specifying whether =20
or not it should be enabled.

Later,
	Luigi

----------------------------------------

Steinbach's Guideline for Systems Programming:
	Never test for an error condition you don't know how to handle.