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Standard Error Bug #52

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cmdty opened this issue Feb 19, 2024 · 0 comments
Open

Standard Error Bug #52

cmdty opened this issue Feb 19, 2024 · 0 comments
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bug Something isn't working modelling Issues around the calculations

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@cmdty
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cmdty commented Feb 19, 2024

Some testing found that the standard error calculation contains a bug. As antithetic variance reduction is used, all PV sims are not independent hence the standard error calculation is incorrect. The solution is to take the average of all pairs of PVs calculated from the same random numbers and then calculate standard error as usual.
@cmdty cmdty added bug Something isn't working modelling Issues around the calculations labels Feb 19, 2024
@cmdty cmdty mentioned this issue Mar 1, 2024
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