Fair enough, but understanding how your model converges is a different issue to understanding what it is converging to.

<t>Look, placing controls on your your random number stream is a bad idea. You need to know your accuracy, that's all. Run a handful of tests, look at the variation and nothing below this level matters."Even more important is that with different seeds you'll see huge swings in your hedges, and this ...

<t>QuoteOriginally posted by: kimosabeQuoteOriginally posted by: aedallanHi Yossarian,Please post your findings. Of most interest is how many numbers you have in your sequence Y.Did you UTSL? See dsfmt_global_data in dSFMT.h in the rng project. That is the state vector for the Mersenne Twister. That...

<t>In answer to your first question, you should avoid restarting your rng if at all possible, you're somewhat defeating the purpose of having a high period by restarting. Keeping the same seed from day to day may be harmless and is done a lot, but it may not be and is easily avoided so why do it? Th...

Hi Yossarian,Please post your findings. Of most interest is how many numbers you have in your sequence Y.

<t>Hi all,I am working on a student demonstration code for the Black-Derman-Toy model and could really use a high resolution zero coupon treasury yield curve plus volatility dataset all the way out to 30+ years. Preferably not just interpolated low res data. Yields seem easy enough to find but not t...

Cheers guys, much appreciated.I've reproduced your results pretty well now wilson2, thanks for the code.

Wilson2, Did you use ThomasJ's code out of the box? The numbers I am getting are close but still not great and not in agreement with the values you posted. eg: 1.10701 for s0=9 at 400x400x50Thanks

<t>Hi Wilson2, Those are great numbers. I must have screwed something up with my implementation, thanks.ThomasJ, It looks like your code is solid from w2's results so thanks a lot for putting it out there. Cuchulainn: There are fairly well standardized tests in many cases in the QF literature. The p...

Relax, I wanted to know if it was a verified code so if you haven't run it then that's all I needed to know. Thanks for your help.

<r>Thanks ThomasJ, much appreciated. I'm curious about the "should", could you try it against this published test?E = 10, T = 0.25, r = 0.1, α = 5, β = 0.16, γ = 0.9, ρ = 0.1 at y = 0.0625 for x= 8 9 10 11 122.000000 1.107629 0.520038 0.213681 0.082046(From Efficient numerical methods for pricing Am...

Thanks but no, it can't.

Hi there, Does anyone know of a free c/c++ code out there capable of pricing americans under heston's sv model? I need a few high accuracy independent results for benching some code I have.Thanks guys

I'll look back over that thread if I can find it. Intrigued to find out who the moustachioed mandolier might be at the very least.Looking at Forsyth's prescription without iterating. Particularly interested in RE for this case. Cheers, A

Hi Chuchulainn, How are things?Doesn't really matter, I'm just interested in if it will work. I've tried a single RE step on a first order explicit scheme with penalty for openers and I don't understand what's going on.A