[Quantlib-dev] sobol further thoughts

[Mark j. <mar...@gm...>]

OK I am not so sure that Kuo's numbers should agree up to dim 40 with
Sobol Levitan.

But even when I use the same polynomials and init numbers with her
code and ours, I get disagreement in the fourth dimension. I haven't
managed to figure out what's going on.

Mark


-- 
LIbor market model training courses in London and Sydney www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com