Timeline for Correct way to generate large data sets (i.e.forward yield curve )
Current License: CC BY-SA 3.0
6 events
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| Jan 14, 2013 at 23:20 | history | edited | Mike Honeychurch | CC BY-SA 3.0 |
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| Jan 14, 2013 at 23:17 | comment | added | sebastian c. | student, studying quant finance, but come from engineering background hoping to learn more about this for a successful career transition.. | |
| Jan 14, 2013 at 23:13 | comment | added | Mike Honeychurch |
@sebastianc. What I have described should make your code run faster based on an alternative to your current code. By definition it should not change the results you obtain (once identical random numbers are used for comparison, see SeedRandom). If your results are not as you expected then you need to consider your implementation is correct or whether your underlying forumlas are correct. Are you a student or doing this commercially?
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| Jan 14, 2013 at 23:10 | comment | added | sebastian c. | Hi @Mike Honeychurch, could this be the reason why I am getting increased volatility with successive simulation runs as I noted: mathematica.stackexchange.com/questions/17781/… | |
| Jan 14, 2013 at 23:04 | history | edited | Mike Honeychurch | CC BY-SA 3.0 |
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| Jan 14, 2013 at 22:51 | history | answered | Mike Honeychurch | CC BY-SA 3.0 |