<t>hi Costeanu,i see what you mean. if i would have only 1 time step, it seems i need to run much more simulation to converge to theoretical mean if sig^2*T >> 1original idea behind my question was more towards how to overcome this problem if I know theoretical mean which seems to be resolved using ...

<t>hi outrun,thanks. i agree. the solution to this issue would be to use moment matching if i know true expectations. in this case it is 1. i just check P.Glasserman 4.5.1 chapter. then, one can do the following simulation to get a distribution with mean always equal to "theoretical mean". let me kn...

<t>Thank you Cuchlainn, Outrun.Antithetic draws make things better.As far as I see, the problem appears as sig^2*T became big. It is a negative drift -0.5sig^2T whichpull down sample mean.Below, couple examples (using antithetic, nsim = 50000)nt=2T=1sig=4 mean = 1.0389 mean = 0.5803 nt = 2T=16sig = ...

<t>Hi all,I would be interested in your opinion about simple, but still somethingthat i probably do not understand completely.I have nt number of time steps and n simulation, sig=const.For each path at each time step node, I have:nt=1v1 = exp(-sig^2*dt/2 + sqrt(dt)*sig*Z1)) , Zi ~ N(0,1)nt=2v2 = exp...

<r>I would be glad to hear any opinion about GPCM model. It seems to me that it is quite old system and not much progress were done for the last 10 years. <URL url="http://rbac.com/%7Bat">http://rbac.com/{at</URL> least what I see from the web site.}The model originally written within a Ph.D thesis ...

<r>Thank for all replies. I have written code which is C++ based with usage of boost. From boost, I am using smart pointers, a bit of mathematics, file system operations.Since I recently started to look into C#, I though to expose C++ dll into it. So, one of the questions was to be able to call func...

is it possible to use boost libraries within .net environment?thanks.

<t>Recently, I have encountered the following question: Given a diagonalizable square matrix A and a noise matrix W,find conditions on A and W such that for each eigenvalue L of A,there is an eigenvalue M of (A+W) such that abs(L-M) < K for a given K. I just wondering, does anyone have thoughts how ...

i would suggest to look into xlw if you really want efficiency and be able to pass something more complex then simple types.http://xlw.sourceforge.net/

nagoshi, DemyanApparently, file is gone because http://depositfiles.com does not store files for more then 3 months ...new link :http://depositfiles.com/en/files/66quexjamnuclph.

Hello DCFC,Actually, I already put part of the code which is reading database into VBA code. Thus, solve problem withinterfacing XLW and MFC.Thank you again.

Marine,I agree that to use MFC much more easier. I am forced not to use it just because I am using XLW libraryand I cannot compile it with MFC.

Thank you dionysus, I will look on it.

Thank you DCFC for the link.But ODBC in Visual C++ 2008 is still dependent on MFC, I need to create a project with MFC support?I would like to be able to create project with Configuration Properties: Use of MFC: "USE Standard Windows library" and not "USE MFC in Shared DLL"

<r>I found link how it is possible to do. In this example, it is shown how to create simple MS access database.<URL url="http://www.codeproject.com/KB/database/cppdao.aspxI">http://www.codeproject.com/KB/database/cppdao.aspxI</URL> will be glad if someone will show another way to do it bypassing usa...